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<SEC-DOCUMENT>0000930413-08-000074.txt : 20080104
<SEC-HEADER>0000930413-08-000074.hdr.sgml : 20080104
<ACCEPTANCE-DATETIME>20080104152039
ACCESSION NUMBER:		0000930413-08-000074
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		7
CONFORMED PERIOD OF REPORT:	20071031
FILED AS OF DATE:		20080104
DATE AS OF CHANGE:		20080104
EFFECTIVENESS DATE:		20080104

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK LTD DURATION INCOME TRUST
		CENTRAL INDEX KEY:			0001233681
		IRS NUMBER:				200096695
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1031

	FILING VALUES:
		FORM TYPE:		N-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21349
		FILM NUMBER:		08511299

	BUSINESS ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
		BUSINESS PHONE:		888-825-227

	MAIL ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		STREET 2:		MUTUAL FUND DEPARTMENT
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK LIMITED DURATION INCOME TRUST
		DATE OF NAME CHANGE:	20030611

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK MANAGED DURATION INCOME TRUST
		DATE OF NAME CHANGE:	20030529

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK MANAGED DURATION TRUST
		DATE OF NAME CHANGE:	20030516
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSR
<SEQUENCE>1
<FILENAME>c51481_n-csr.htm
<TEXT>

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<P align="center">
<FONT face="serif">UNITED STATES</FONT><BR>
<FONT face="serif">SECURITIES AND EXCHANGE COMMISSION</FONT><BR>
<FONT face="serif">Washington, D.C. 20549</FONT></P>
<P align="center">
<B><FONT face="serif">FORM N-CSR</FONT></B></P>
<P align="center">
<B><FONT face="serif">CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT</FONT></B><BR>
<B><FONT face="serif">INVESTMENT COMPANIES</FONT></B></P>
<P align="left">
<FONT size=2 face="serif">Investment Company Act file number 811-21349 </FONT></P>
<P align="left">
<FONT size=2 face="serif">Name of Fund: BlackRock Limited Duration Income Trust (BLW) </FONT></P>
<P align="left">
<FONT size=2 face="serif">Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809 </FONT></P>
<P align="left">
<FONT size=2 face="serif">Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock Limited Duration Income Trust, <br>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ,
08543-9011 </FONT></P>
<P align="left">
<FONT size=2 face="serif">Registrant&#146;s telephone number, including area code: (800) 882-0052, Option 4 <br>
<br>
Date of fiscal year end: 10/31/2007 <br>
<br>
Date of reporting period: 11/01/2006 &#150; 10/31/2007</FONT>
</P>

<HR noshade width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>

<P align="left">
<FONT size=2 face="serif">Item 1 &#150; Report to Stockholders</FONT></P>

<HR WIDTH="100%" SIZE="4" noshade style="margin-top: -5px">
<HR WIDTH="100%" SIZE="1" noshade style="margin-top: -10px">
<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="70%">
<TR style="font-size:1px">
<TD WIDTH="10%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="25%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>EQUITIES</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>FIXED INCOME</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>REAL ESTATE</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>LIQUIDITY</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>ALTERNATIVES</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>BLACKROCK SOLUTIONS</FONT></P>
</TD>
</TR>
</TABLE>

<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP BGCOLOR=BLACK>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP BGCOLOR=BLACK>
<P>&nbsp;</P>
</TD>
<TD WIDTH="45%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=5 COLOR=WHITE FACE=ARIAL>Closed-End Funds</FONT></P>
</TD>
<TD ROWSPAN="3" VALIGN=TOP>
<P ALIGN=CENTER><BR><FONT SIZE=2   FACE=ARIAL><IMG SRC="c50638001.jpg" ALT="(BLACKROCK LOGO)"></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=2 COLOR=WHITE FACE=ARIAL>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=2 COLOR=WHITE FACE=ARIAL>ANNUAL REPORT | OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR=BLACK>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP bgcolor=#7897C3>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP bgcolor=#7897C3>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR=#005695>BlackRock Broad Investment Grade
 2009 Term Trust Inc. (BCT)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR=#005695>BlackRock Core Bond Trust (BHK)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR=#005695>BlackRock High Yield Trust (BHY)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR=#005695>BlackRock Income Opportunity
 Trust (BNA)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR=#005695>BlackRock Income Trust Inc.
 (BKT)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR=#005695>BlackRock Limited Duration
 Income Trust (BLW)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR=#005695>BlackRock Preferred and Equity
 Advantage Trust (BTZ)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR=#005695>BlackRock Strategic Bond Trust
 (BHD)</FONT></P>
</TD>
</TR>

</table>

<P><FONT SIZE=1 FACE=ARIAL>NOT FDIC
INSURED <BR>
MAY LOSE VALUE <BR>
NO BANK GUARANTEE</FONT></P>

<HR WIDTH="100%" SIZE="1" noshade style="margin-top: -2px">
<HR WIDTH="100%" SIZE="4" noshade style="margin-top: -10px">
<P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
<BR>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="90%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF6>
<TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Table
 of Contents</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL COLOR="#005695"><B>Page</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A001">A Letter to
 Shareholders</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><B>Annual Report:</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A002">Trust Summaries</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Financial Statements:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL><A HREF="#A003">Portfolio of
Investments</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>10</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL><A HREF="#A004">Statements of Assets and
Liabilities</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>47</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL><A HREF="#A005">Statements of
Operations</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>49</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL><A HREF="#A006">Statements of Cash
Flows</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>51</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL><A HREF="#A007">Statements of Changes in
Net Assets</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>53</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A008">Financial
 Highlights</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>55</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A009">Notes to
 Financial Statements</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>63</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A010">Report of
 Independent Registered Public Accounting Firm</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>78</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A011">The Benefits and
 Risks of Leveraging</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>79</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A012">Dividend
 Reinvestment Plans</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>80</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A013">BlackRock Privacy
 Principles</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>80</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A014">Additional
 Information</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>81</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A015">Section 19
 Notices</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>84</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><A HREF="#A016">Directors/Trustees
 Information</A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>85</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P ALIGN=LEFT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR="#005695">A Letter to Shareholders<A  NAME=A001></A></FONT></P>
</TD>
</TR>
</table>
<BR>
<div style="border-left:solid black 1px;margin-left:15%;padding:1%;width:100%">

<P><FONT SIZE=2 FACE=ARIAL><B>Dear Shareholder</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The October
reporting period was fairly tumultuous for financial markets, but culminated in
positive performance for most major benchmarks:</FONT></P>

<P STYLE='MARGIN-RIGHT:0IN; MARGIN-LEFT:0IN'><FONT SIZE=2 FACE=ARIAL><B>Total returns as
of October 31, 2007</B></FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="77%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>6-month</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>12-month</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>U.S. equities (S&amp;P 500 Index)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>+5.49 %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>+14.56</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Small cap U.S. equities (Russell 2000 Index)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>+2.25 %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>+9.27</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>International equities (MSCI Europe, Australasia, Far East
 Index)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>+8.19 %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>+24.91</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Fixed income (Lehman Brothers U.S. Aggregate Bond Index)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>+2.68 %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>+5.38</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Tax-exempt fixed income (Lehman Brothers Municipal Bond
 Index)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>+1.30 %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>+2.91</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>High yield bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>(Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap
 Index)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>-0.07 %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>+6.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Past
performance is no guarantee of future results. Index performance shown for
illustrative purposes only. You cannot invest directly in an index.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Subprime
mortgage woes dominated headlines for much of 2007, but intensified in the
summer and fall, spawning a widespread liquidity and credit crisis with
ramifications across global markets. The Federal Reserve Board (Fed) and other
countries&#146; central banks stepped in to inject liquidity into the markets and
bolster investor confidence. The Fed cut the federal funds rate by 0.50% in
September and another 0.25% on the final day of the reporting period, bringing
its target rate to 4.50%. In taking action, the central bankers, who had long
deemed themselves inflation fighters, were seeking to stem the fallout from the
credit crunch and forestall a wider economic unraveling. By period-end, the Fed
had cited the risks between slower economic growth and faster inflation as
equally balanced.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Amid the
volatility throughout the past year, equity markets have displayed surprising
resilience. Most recently, the credit turmoil dampened corporate
merger-and-acquisition (M&amp;A) activity, a key source of strength for equity
markets. Still, market fundamentals have held firm, dividend payouts and share
buybacks have continued to grow, and valuations remain attractive. These
tailwinds generally have prevailed over the headwinds created by the slowing
U.S. economy, troubled housing market and, recently, a more difficult corporate
earnings backdrop. International markets fared even better than U.S. equities,
benefiting from robust M&amp;A activity and generally stronger economies.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>In fixed
income markets, mixed economic signals and the credit woes resulted in a flight
to quality. At the height of the uncertainty, investors shunned bonds
associated with the housing and credit markets in favor of higher-quality
Treasury issues. The yield on 10-year Treasury issues, which touched 5.30% in
June (its highest level in five years), fell to 4.48% by period-end, while
prices correspondingly rose. The tax-exempt bond market has been challenged by
a combination of record-setting supply year-to-date, economic uncertainty and
concerns around the credit worthiness of bond insurers. This has brought
municipal bond prices to relatively attractive levels and, as such, demand
generally has remained firm.</FONT></P>

<P STYLE='MARGIN-RIGHT:0IN; MARGIN-LEFT:0IN'><FONT FACE="ARIAL" SIZE="2">As you navigate market volatility,
we encourage you to review your investment goals with your financial
professional and to make portfolio changes, as needed. For more market insight
and commentary from BlackRock investment professionals, we invite you to visit
<U>www.blackrock.com/funds</U>. As always, we thank you for entrusting BlackRock with
your investment assets, and we look forward to continuing to serve you in the
months and years ahead. </FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Sincerely,</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL><IMG SRC="c50638002.jpg" ALT="-s- Robert C. Doll"></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>
</DIV>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="84%" style=margin-left:16%>
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Robert C. Doll, Jr.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Vice Chairman, BlackRock, Inc.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>THIS PAGE NOT PART OF YOUR TRUSTS REPORT </FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P ALIGN=LEFT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>1</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>




<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="45%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP nowrap>
<P><FONT SIZE=3 FACE=ARIAL COLOR=#005695><BR>Trust Summary as of October 31,
 2007<A NAME=A002></A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL COLOR=#005695><BR><B>BlackRock Broad
 Investment Grade 2009 Term Trust Inc. (BCT)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>



<TR bgcolor=#E7ECF6>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#1E5F95  FACE=ARIAL><B>Investment Objective</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>


</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="85%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The Trust&#146;s investment objective is
to manage a portfolio of fixed income securities that will return $15 per share
(the initial public offering price per share) to investors on or about December
31, 2009 while providing high monthly income.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>



<TR bgcolor=#E7ECF6>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#1E5F95  FACE=ARIAL><B>Trust Information</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>


</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="76%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Symbol on American Stock
 Exchange:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>BCT</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>June 17, 1993</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Yield on Closing Market Price as
 of October 31, 2007 ($15.15):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>5.94%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Current Monthly Distribution per
 Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$ 0.075</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Current Annualized Distribution
 per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$ 0.900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT FACE="ARIAL" SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Yield on closing market price is calculated by dividing
 the current annualized distribution per share by the closing market price.
 Past performance does not guarantee future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT FACE="ARIAL" SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>A change in the distribution rate was declared on November
 1, 2007. The Monthly Distribution per Common Share was decreased to $0.049.
 The Yield on Closing Market Price, Current Monthly Distribution and Current
 Annualized Distribution do not reflect the new distribution rate. The new
 distribution rate is not constant and is subject to further change in the
 future.</FONT></P>
</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The table below summarizes the
 changes in the Trust&#146;s market price and net asset value per share:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="51%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>

<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>

<TD VALIGN=BOTTOM colspan=2>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Change&nbsp;&nbsp;</B></FONT></P>
</TD>

<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>High</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Low</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Market Price</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>15.15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>15.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>0.46</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>15.65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>14.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Net Asset Value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>(2.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="85%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The following unaudited chart shows
the portfolio composition of the Trust&#146;s long-term investments:</FONT></P>
</TD>
</TR>
</table>

<BR>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR bgcolor=#E7ECF6>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#1E5F95  FACE=ARIAL><B>Portfolio Composition</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="64%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2 FACE=ARIAL>Agency Multiple Class Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Taxable Municipal Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=2 FACE=ARIAL>Non-Agency Multiple Class
 Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Inverse Floating Rate Mortgage
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Interest Only Mortgage-Backed
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>U.S. Government and Agency
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P ALIGN=LEFT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>2</FONT></P>
 </TD>
 </TR>
</table>
<BR>


<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM>
 <P><FONT SIZE=3 COLOR=#005695 FACE=ARIAL>Trust Summary as of October 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P ALIGN=RIGHT><FONT SIZE=2  COLOR=#005695 FACE=ARIAL><B>BlackRock Core Bond Trust (BHK)</B></FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Investment Objective</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>


<TD VALIGN=TOP colspan=2>
<P ALIGN="LEFT"><FONT SIZE=2 FACE=ARIAL>The Trust&#146;s investment objective
 is to provide current income and capital appreciation.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Trust Information</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="76%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="21%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Symbol on New York Stock
 Exchange:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>BHK</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>November 27, 2001</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Yield on Closing Market Price as
 of October 31, 2007 ($12.23):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>6.57%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Current Monthly Distribution per
 Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.067</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Current Annualized Distribution
 per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.804</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Leverage as of October 31, 2007:<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>22%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
</TR>
</table>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="6%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="93%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=top>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Yield on closing market price is calculated by dividing
 the current annualized distribution per share by the closing market price.
 Past performance does not guarantee future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>A change in the distribution rate was declared on December
 5, 2007. The Monthly Distribution per Common Share was decreased to $0.062.
 The Yield on Closing Market Price, Current Monthly Distribution and Current
 Annualized Distribution do not reflect the new distribution rate. The new
 distribution rate is not constant and is subject to further change in the
 future.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>As a percentage of managed assets (as defined in Note 2 of
 the Notes to Financial Statements).</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="24%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="16" VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The table below summarizes the
 changes in the Trust&#146;s market price and net asset value per share:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>Change</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>High</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>Low</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Market Price</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$12.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$12.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>(4.90) %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$13.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2 FACE=ARIAL>$11.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Net Asset Value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$13.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$13.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>(1.37) %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$14.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$13.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The following unaudited charts
 show the portfolio composition of the Trust&#146;s long-term investments and
 credit quality allocations of the Trust&#146;s corporate bond investments: </FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>&nbsp;
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Portfolio Composition</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="76%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 face=arial>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2 face=arial>42</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 face=arial>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2 face=arial>58</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 face=arial><B>%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Commercial Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>U.S. Government and Agency
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Non-Agency Multiple Class
 Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Agency Multiple Class
 Mortgage Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Trust Preferred Stocks</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Interest Only Asset-Backed
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Foreign Government Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>&nbsp;
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Corporate Bond Breakdown<SUP>4</SUP></B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="69%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Credit Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>AAA/Aaa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="80%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Using the highest of Standard &amp; Poor&#146;s (&#147;S&amp;P&#146;s&#148;),
 Moody&#146;s Investors Service (&#147;Moody&#146;s&#148;) or Fitch Rating (&#147;Fitch&#146;s&#148;) ratings.
 Corporate bonds represented approximately 66.2% and 58.3% of net assets on
 October 31, 2007 and 2006, respectively.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>3</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM>
 <P><FONT SIZE=3 COLOR=#005695 FACE=ARIAL>Trust Summary as of October 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P ALIGN=RIGHT><FONT SIZE=2  COLOR=#005695 FACE=ARIAL><B>BlackRock High Yield Trust (BHY)</B></FONT></P>
 </TD>
 </TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Investment Objective</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The Trust&#146;s investment objective
 is to generate high current income and, to a lesser extent, to seek capital
 appreciation.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Trust Information</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="73%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="26%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Symbol on New York Stock
 Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>BHY</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>December 23, 1998</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Yield on Closing Market Price as
 of October 31, 2007 ($6.92):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>8.84%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Current Monthly Distribution per
 Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.051</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Current Annualized Distribution
 per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.612</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Leverage as of October 31, 2007:<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>15%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="85%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Yield on closing market price is calculated by dividing
 the current annualized distribution per share by the closing market price.
 Past performance does not guarantee future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The distribution is not constant and is subject to change.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>As a percentage of managed assets (as defined in Note 2 of
 the Notes to Financial Statements).</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="41%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The table below summarizes the
 changes in the Trust&#146;s market price and net asset value per share:</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>Change</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>High</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>Low</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Market Price</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$6.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$7.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>(10.94</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$8.70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$5.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Net Asset Value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$7.91</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$7.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>0.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$8.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$7.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="85%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The
following unaudited charts show the portfolio composition and credit quality
allocations of the Trust&#146;s corporate bond investments:</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>&nbsp;
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Portfolio Composition<SUP>4</SUP></B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="77%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Corporate Portfolio Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Energy</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Basic Materials</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Financial Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Consumer Products</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Automotive</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Real Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Commercial Services</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="85%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>For Trust compliance purposes, the Trust&#146;s sector and
 industry classification refer to any one or more of the Standard Industry
 Codes as defined by the SEC. This definition may not apply for purposes of
 this report, which may combine sector and industry sub-classification for
 reporting ease.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>&nbsp;
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Corporate Bond Breakdown<SUP>5</SUP></B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="79%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Credit Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>51</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>C</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="94%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Using the highest of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.
 Corporate bonds represented approximately 110.4% and 128.9% of net assets on
 October 31, 2007 and 2006, respectively.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>4</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM>
 <P><FONT SIZE=3 COLOR=#005695 FACE=ARIAL>Trust Summary as of October 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P ALIGN=RIGHT><FONT SIZE=2  COLOR=#005695 FACE=ARIAL><B>BlackRock Income
 Opportunity Trust (BNA)</B></FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Investment Objective</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The Trust&#146;s investment objective
 is to provide current income and capital appreciation.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Trust Information</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="74%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="25%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Symbol on New York Stock
 Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>BNA</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>December 20, 1991</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Yield on Closing Market Price as
 of October 31, 2007 ($10.19):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>6.48%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Current Monthly Distribution per
 Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.055</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Current Annualized Distribution
 per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.660</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Leverage as of October 31, 2007:<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>22%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="94%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Yield on closing market price is calculated by dividing
 the current annualized distribution per share by the closing market price.
 Past performance does not guarantee future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>A change in the distribution rate was declared on December
 5, 2007. The Monthly Distribution per Common Share was decreased to $0.051.
 The Yield on Closing Market Price, Current Monthly Distribution and Current
 Annualized Distribution do not reflect the new distribution rate. The new
 distribution rate is not constant and is subject to further change in the
 future.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>As a percentage of managed assets (as defined in Note 2 of
 the Notes to Financial Statements).</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="49%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The table below summarizes the
 changes in the Trust&#146;s market price and net asset value per share:</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>Change</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>High</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>Low</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Market Price</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$10.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$10.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>(3.69)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$10.88</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>9.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Net Asset Value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$11.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$11.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>(1.34)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$11.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>10.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The following unaudited charts
 show the portfolio composition of the Trust&#146;s long-term investments and
 credit quality allocations of the Trust&#146;s corporate bond investments: </FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>&nbsp;
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Portfolio Composition</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="76%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>38</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Non-Agency Multiple Class
 Mortgage Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Agency Multiple Class Mortgage Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>U.S. Government and
 Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Commercial Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Trust Preferred Stocks</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Federal Housing Administration Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Inverse Floating Rate Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>&nbsp;
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Corporate Bond Breakdown<SUP>4</SUP></B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="75%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Credit Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>AAA/Aaa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="85%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Using the highest of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.
 Corporate bonds represented approximately 64.0% and 52.1% of net assets on
 October 31, 2007 and 2006, respectively.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>5</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM>
 <P><FONT SIZE=3 COLOR=#005695 FACE=ARIAL>Trust Summary as of October 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P ALIGN=RIGHT><FONT SIZE=2  COLOR=#005695 FACE=ARIAL><B>BlackRock Income Trust Inc. (BKT)</B></FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Investment Objective</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The Trust&#146;s investment objective
 is to manage a portfolio of high quality securities to achieve high monthly
 income consistent with the preservation of capital.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Trust Information</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="79%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Symbol on New York Stock
 Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>BKT</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>July 22, 1988</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Yield on Closing Market Price as
 of October 31, 2007 ($5.81):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>6.40%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Current Monthly Distribution per
 Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.031</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Current Annualized Distribution
 per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.372</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Leverage as of October 31, 2007:<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>8%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="94%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Yield on closing market price is calculated by dividing
 the current annualized distribution per share by the closing market price.
 Past performance does not guarantee future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>A change in the distribution rate was declared on December
 5, 2007. The Monthly Distribution per Common Share was decreased to $0.024.
 The Yield on Closing Market Price, Current Monthly Distribution and Current
 Annualized Distribution do not reflect the new distribution rate. The new
 distribution rate is not constant and is subject to further change in the
 future.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>As a percentage of managed assets (as defined in Note 2 of
 the Notes to Financial Statements).</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="43%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The table below summarizes the
 changes in the Trust&#146;s market price and net asset value per share:</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>Change</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>High</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1 face=arial><B>Low</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Market Price</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$5.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$6.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>(4.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2  FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$6.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$5.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Net Asset Value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$6.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$6.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2  FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$6.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$6.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The following unaudited chart shows
 the portfolio composition of the Trust&#146;s long-term investments:</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>&nbsp;
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Portfolio Composition</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="70%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Mortgage Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Agency Multiple Class
 Mortgage Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>U.S. Government and
 Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Non-Agency Multiple Class
 Mortgage Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Principal Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Inverse Floating Rate
 Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Federal Housing Administration Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Commercial Mortgage-Backed
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>6</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM>
 <P><FONT SIZE=3 COLOR=#005695 FACE=ARIAL>Trust Summary as of October 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P ALIGN=RIGHT><FONT SIZE=2  COLOR=#005695 FACE=ARIAL><B>BlackRock
 Limited Duration Income Trust (BLW)</B></FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Investment Objective</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The Trust&#146;s investment objective
 is to provide current income and capital appreciation.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Trust Information</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="79%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Symbol on New York Stock
 Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>BLW</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Initial Offering Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>July 30, 2003</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Yield on Closing Market Price as
 of October 31, 2007 ($16.68):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>8.99%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Current Monthly Distribution per
 Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.125</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Current Annualized Distribution
 per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$1.500</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Leverage as of October 31, 2007:<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>14%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="94%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Yield on closing market price is calculated by dividing
 the current annualized distribution per share by the closing market price.
 Past performance does not guarantee future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The distribution is not constant and is subject to change.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>As a percentage of managed assets (as defined in Note 2 of
 the Notes to Financial Statements).</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="52%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The table below summarizes the
 Trust&#146;s market price and net asset value per share:</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Change</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>High</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Low</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Market Price</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$16.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$18.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>(11.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>) %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$19.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$14.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Net Asset Value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$18.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$19.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>(2.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>) %</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$19.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$18.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The following unaudited charts
 show the portfolio composition of the Trust&#146;s long-term investments and
 credit quality allocations of the Trust&#146;s corporate bond investments:</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>&nbsp;
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Portfolio Composition</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="74%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN="CENTER"><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN="CENTER"><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Bank Loans</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>42</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>43</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Mortgage Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>U.S. Government and Agency
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Foreign Government Bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Non-Agency Multiple Class Mortgage Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>&nbsp;
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Corporate Bond Breakdown<SUP>4</SUP></B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="78%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Credit Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>43</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>51</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2 FACE=ARIAL>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=2>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="4%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Using the highest of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.
 Corporate bonds represented approximately 49.1% and 64.3% of net assets on
 October 31, 2007 and 2006, respectively.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>7</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="42%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="58%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Trust Summary as of October 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2   COLOR="#005695" FACE=ARIAL><B>BlackRock Preferred and Equity Advantage
 Trust (BTZ)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR="#005695"  FACE=ARIAL><B>Investment
Objective</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</TABLE>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="85%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The Trust&#146;s
 investment objective is to seek current income, current gains and capital
 appreciation.</FONT></P>
</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR="#005695"  FACE=ARIAL><B>Trust
Information</B></FONT></P>
 </TD>
 </TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style='margin-left:15%'>
<TR style="font-size:1px">
<TD WIDTH="75%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="22%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Symbol on New York
 Stock Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>BTZ</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Initial Offering
 Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>December 27, 2006</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Yield on Closing
 Market Price as of October 31, 2007 ($18.65):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>10.05%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Current Monthly
 Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.15625</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Current Annualized
 Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$1.87500</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Leverage as of
 October 31, 2007:<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>33%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="3" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Yield on closing market price is calculated by dividing
 the current annualized distribution per share by the closing market price.
 Past performance does not guarantee future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>The distribution is not constant and is subject to change.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>As a percentage of managed assets (as defined in Note 2 of
 the Notes to Financial Statements).</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style='margin-left:15%'>
<TR style="font-size:1px">
<TD WIDTH="65%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="11" VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The table below
 summarizes the changes in the Trust&#146;s market price and net asset value per
 share:</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="11" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>High</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Low</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="11" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Market Price</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$18.65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$25.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$15.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Net Asset Value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$21.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$24.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$20.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="11" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="11" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="11" VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The following
 unaudited charts show the portfolio composition of the Trust&#146;s long-term
 investments and credit quality allocations of the Trust&#146;s preferred stock,
 trust preferred stock and corporate bond investments:</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF6>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#1E5F95  FACE=ARIAL><B>Portfolio
Composition<SUP>4</SUP></B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="86%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Financial
 Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Energy</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Consumer Products</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Real Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Basic Materials</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Entertainment
 &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Automotive</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>For Trust compliance purposes, the Trust&#146;s sector and
 industry classification refer to any one or more of the Standard Industry
 Codes as defined by the SEC. This definition may not apply for purposes of
 this report, which may combine sector and industry sub-classification for
 reporting ease.</FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF6>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#1E5F95  FACE=ARIAL><B>Preferred,
Trust Preferred and Corporate Bond Breakdown<SUP>5</SUP></B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="86%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Credit Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>42</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Using the higher of S&amp;P, Moody&#146;s or Fitch ratings.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>8</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="42%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="58%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Trust Summary as of October 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2   COLOR="#005695" FACE=ARIAL><B>BlackRock
 Strategic Bond Trust (BHD)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR="#005695"  FACE=ARIAL><B>Investment
Objective</B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="85%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>The Trust&#146;s
 investment objective is to seek total return through high current income and
 capital appreciation.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR="#005695"  FACE=ARIAL><B>Trust
Information</B></FONT></P>
 </TD>
 </TR>
</TABLE>

<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style='margin-left:15%'>
<TR style="font-size:1px">
<TD WIDTH="75%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="22%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Symbol on New York
 Stock Exchange:</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>BHD</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Initial Offering
 Date:</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>February 26, 2002</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Yield on Closing
 Market Price as of October 31, 2007 ($11.88):<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>7.78%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Current Monthly
 Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.077</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Current Annualized
 Distribution per Share:<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$0.924</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="3" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>


<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style='margin-left:15%'>
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Yield on closing market price is calculated by dividing
 the current annualized distribution per share by the closing market price.
 Past performance does not guarantee future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>The distribution is not constant and is subject to change.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style='margin-left:15%'>
<TR style="font-size:1px">
<TD WIDTH="41%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The table below summarizes
 the changes in the Trust&#146;s market price and net asset value per share:</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Change</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>High</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Low</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Market Price</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$11.88</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$12.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>(7.55)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$13.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$10.40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Net Asset Value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$13.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$13.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>(0.22)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$14.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=2  FACE=ARIAL>$13.47</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>The following
 unaudited charts show the portfolio composition and credit quality
 allocations of the Trust&#146;s corporate bond investments:</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF6>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#1E5F95  FACE=ARIAL><B>Corporate
Portfolio Composition<SUP>3</SUP></B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="73%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Composition</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Energy</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Financial
 Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Aerospace &amp;
 Defense</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Basic Materials</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Consumer Products</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Automotive</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Ecological Services
 &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Containers &amp;
 Packaging</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Entertainment
 &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Building &amp;
 Development</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>Real Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>For Trust compliance purposes, the Trust&#146;s sector and
 industry classification refer to any one or more of the Standard Industry
 Codes as defined by the SEC. This definition may not apply for purposes of
 this report, which may combine sector and industry sub-classification for
 reporting ease.</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF6>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#1E5F95  FACE=ARIAL><B>Corporate
Bond Breakdown<SUP>4</SUP></B></FONT></P>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:2px solid #1E5F95;border-bottom:1px solid #1E5F95'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</TABLE>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="75%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Credit Rating</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/07</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>10/31/06</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>AAA/Aaa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>AA/Aa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>BBB/Baa</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>BB/Ba</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=2 FACE=ARIAL>CCC/Caa</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>9</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=2 FACE=ARIAL>Not Rated</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=2  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="85%" style="margin-left:15%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT FACE="ARIAL" SIZE="1"><SUP>4</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Using the highest of S&amp;P&#146;s, Moody&#146;s or Fitch&#146;s rating.
 Corporate bonds represented approximately 84.5% and 107.6% of net assets on
 October 31, 2007 and 2006, respectively.</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>9</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="47%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="3%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL> <A NAME=A003></A>Portfolio of Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as of October 31, 2007</FONT></P>
 </TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
 <TD VALIGN=BOTTOM>
<P><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock Broad Investment
 Grade 2009 Term Trust Inc. (BCT)</B></FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based on
 Net Assets)</B> </FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="5" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>LONG-TERM
 INVESTMENTS&#151;29.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Mortgage
 Pass-Through Securities&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>314</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%,
 1/01/17-2/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>316,169</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.50%,
 7/01/29</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,777</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>330,946</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="5" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Agency
 Multiple Class Mortgage Pass-Through Securities&#151;9.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,745</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1510,
 Class G, 7.05%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,753,683</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,098</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1598,
 Class J, 6.50%, 10/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,095,825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>81</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2564,
 Class NC, 5.00%, 2/15/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>69,195</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>668</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 National Mortgage Assoc.,<BR>
 Ser. 49, Class H, 7.00%, 4/25/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>689,837</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Agency Multiple Class Mortgage<BR>
 Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,608,540</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="5" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Inverse
 Floating Rate Mortgage Securities&#151;4.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT style=margin-top:3px><FONT SIZE=1  FACE=ARIAL>132</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-2px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; margin-top:3px'><FONT  SIZE=1 FACE=ARIAL>Citicorp
 Mortgage Securities, Inc.,<BR>
 Ser. 14, Class A-4, 6.352%, 11/25/23</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>131,701</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1425,
 Class SB, 11.886%, 12/15/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,876</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1506,
 Class S, 9.708%, 5/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,468</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>152</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1515,
 Class S, 8.753%, 5/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>152,069</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1600,
 Class SC, 8.60%, 10/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,853</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>144</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1618,
 Class SA, 8.25%, 11/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>144,815</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1661,
 Class SB, 8.83%, 1/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,035</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1688,
 Class S, 9.566%, 12/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,408</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>105</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2412,
 Class SE, 5.519%, 2/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>106,281</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>275</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2517,
 Class SE, 3.522%, 10/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>264,534</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 13,
 Class SJ, 8.75%, 2/25/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,505</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 174,
 Class S, 97.223%, 9/25/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,514</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>118</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 192,
 Class SC, 6.84%, 10/25/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>117,971</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 214,
 Class SH, 5.592%, 12/25/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>36,653</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 214,
 Class SK, 10.00%, 12/25/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>52,172</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>618</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Residential
 Accredit Loans, Inc.,<BR>
 Ser. QS16, Class A3, 6.435%, 10/25/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>620,297</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Inverse Floating Rate Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,691,152</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="5" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Interest
 Only Mortgage-Backed Securities&#151;2.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 65,
 Class I, 918.03%, 8/15/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,058</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 141,
 Class H, 1,060.00%, 5/15/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>220</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,444</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2523,
 Class EH, 5.50%, 4/15/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>73,865</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>149</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2633,
 Class PI, 4.50%, 3/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>781</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,531</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2739,
 Class PI, 5.00%, 3/15/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94,580</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,467</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2976,
 Class KI, 5.50%, 11/15/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>191,597</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,664</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 3189,
 Class KI, 6.00%, 1/15/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>174,439</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,615</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 3207,
 Class QI, 6.00%, 2/15/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>234,558</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 8,
 Class HA, 1,199.999%, 1/25/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>105</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>899</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 13,
 Class IG, 5.00%, 10/25/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,655</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 20,
 Class SL, 10.12%, 9/25/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,260</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 49,
 Class L, 444.917%, 4/25/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,790</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,343</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 70,
 Class ID, 5.00%, 4/25/22</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>61,437</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. G-21,
 Class L, 949.50%, 7/25/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,410</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,042</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Vendee
 Mortgage Trust, Ser. 1, 0.043%, 10/15/31</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,627</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>906,382</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="65%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Principal
 Only Mortgage-Backed Security&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Salomon
 Brothers Mortgage Securities, Inc. VI,<BR>
 Ser. 3, Class A, 12.50%, 10/23/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,246</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Asset-Backed
Securities&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>234</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1,3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Global
 Rated Eligible Asset Trust,<BR>
 Ser. A, Class 1, 7.33%, 9/15/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>568</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1,3,5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Structured
 Mortgage Asset Residential Trust,<BR>
 Ser. 2, 8.24%, 12/15/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>57</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Corporate Bond&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Morgan
 Stanley Group, Inc., 10.00%, 6/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,029,161</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Taxable Municipal
Bonds&#151;5.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Fresno
 California Pension Oblig., 7.80%, 6/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>544,725</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Kern County
 California Pension Oblig., 6.98%, 8/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>518,005</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Los Angeles
 County California Pension Oblig.,<BR>
 Ser. D, 6.97%, 6/30/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>506,585</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Orleans
 Parish Louisiana School Board,<BR>
 Ser. A, 6.60%, 2/01/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>501,925</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Taxable Municipal Bonds</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,071,240</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Non-Agency Multiple Class Mortgage
 Pass-Through Securities&#151;4.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,914</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>JPMorgan
 Mortgage Trust,<BR>
 Ser. A7, Class 2A2, 5.83%, 1/25/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,910,904</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT  SIZE=1 FACE=ARIAL><B>Total Long-Term Investments<BR>
 (cost $11,827,713)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,561,651</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>SHORT-TERM
INVESTMENT&#151;70.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>U.S. Government and Agency Discount
 Notes&#151;70.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 Home Loan Bank Disc. Notes,<BR>
 4.351%, 11/01/07 (cost $27,800,000)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,800,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Total Investments&#151;99.5% (cost
$39,627,713<SUP>7</SUP>)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,361,651</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Other assets in excess of
liabilities&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>207,328</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Net Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,568,979</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:SOLID black 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:SOLID black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Variable rate security. Rate shown is interest rate as of
 October 31, 2007.<BR><BR></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Rate shown is effective yield of the underlying collateral
 as of October 31, 2007.<BR><BR></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Illiquid security. As of October 31, 2007, the Trust held
 less than 0.1% of its net assets, with a current market value of $80, in
 these securities.<BR><BR></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Security is not registered under the Securities Act of
 1933. These securities may be resold in transactions in accordance with Rule
 144A under that Act, to qualified institutional buyers. As of October 31,
 2007, the Trust held less than 0.1% of its net assets, with a current market
 value of $23, in securities restricted as to resale.<BR><BR></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Security is fair valued.<BR><BR></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Rate shown is the yield to maturity as of the date of
 purchase.<BR><BR></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Cost for federal income tax purposes is $39,627,713. The
 net unrealized depreciation on a tax basis is $266,062, consisting of
 $321,614 gross unrealized appreciation and $587,676 gross unrealized
 depreciation.</FONT></P>
</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR bgcolor=#E7ECF5>
 <TD VALIGN=BOTTOM  style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
 <P STYLE='MARGIN-LEFT:17.3PT'><FONT SIZE=1 COLOR=#005695  FACE=ARIAL><B>Portfolio Abbreviations</B></FONT></P>
 </TD>
 </TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="75%" STYLE=MARGIN-LEFT:25%>
<TR style="font-size:1px">
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="31%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="31%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>ADR</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>American Depositary Receipt</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>EUR</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Euro</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>GBP</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>British Pound</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>LIBOR</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>London Interbank Offered Rate</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>PRIME</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Prime Rate</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>REIT</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Real Estate Investment Trust</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>TBA</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>To Be Announced</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>TBD</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>To Be Determined</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>10</FONT></P>
 </TD>

 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="40%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="10%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as of October 31, 2007</FONT></P>
 </TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
 <TD VALIGN=BOTTOM nowrap>
<P><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock Core
 Bond Trust (BHK)</B></FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP NOWRAP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based on
 Net Assets)</B> </FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>LONG-TERM
 INVESTMENTS&#151;158.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Mortgage
 Pass-Through Securities&#151;58.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>757</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Citigroup
 Mortgage Loan Trust, Inc.,<BR>
 Ser. 4, Class A, 5.345%, 8/25/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>738,529</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.00%,
 8/01/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>71,842</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,428</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%,
 11/01/18</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,434,281</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,183</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%,
 11/01/18-5/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,112,866</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,498</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%,
 2/01/13-12/01/18</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,545,922</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.00%,
 9/01/31</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,749</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.379%,
 5/01/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60,118</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 5.50%,
 12/12/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,935,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.50%,
 2/01/20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,798</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,051</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.00%,
 11/01/17-6/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,870,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,498</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.00%,
 1/01/18-5/01/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,026,793</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,747</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%,
 1/01/18-7/01/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,719,784</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>43,246</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%,
 12/01/35-4/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,661,096</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,658</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%,
 2/01/36-10/01/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,708,610</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,159</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%,
 8/01/29-11/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,182,236</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>289</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.00%,
 1/01/31-7/01/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>302,834</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 5.00%,
 11/19/22</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>393,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 5.50%,
 11/19/22-11/13/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>84,249,051</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 6.00%,
 11/13/37-12/12/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,019,812</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 6.50%,
 12/12/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,946,133</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Government
 National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>205</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%,
 8/15/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>204,241</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 6.50%,
 11/20/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>205,312</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>760</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>GSR
 Mortgage Loan Trust,<BR>
 Ser. AR4, Class 6A1, 5.25%, 7/25/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>739,031</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Small
 Business Administration,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>767</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. P10B,
 Class 1, 4.754%, 8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>751,230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,351</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. P10B,
 Class 1, 5.136%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,352,827</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>214,297,970</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Federal Housing Administration
 Security&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,028</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>FHA Hebre
 Home Hospital, 6.25%, 9/01/28</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,038,331</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Agency Multiple Class Mortgage
 Pass-Through Securities&#151;4.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2562,
 Class PG, 5.00%, 1/15/18</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,185,166</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2775,
 Class OE, 4.50%, 4/15/19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,056,897</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,959</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2806,
 Class VC, 6.00%, 12/15/19</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,008,150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,306</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2825,
 Class VP, 5.50%, 6/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,322,326</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2883,
 Class DR, 5.00%, 11/15/19</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,257,396</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2968,
 Class EG, 6.00%, 10/15/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,622,310</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,691</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 5,
 Class PK, 5.00%, 12/25/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,684,529</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,663</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 118,
 Class FD, 5.273%, 12/25/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,651,013</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Agency Multiple Class Mortgage<BR>
 Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,787,787</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Asset-Backed
Securities&#151;6.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Chase
 Issuance Trust,<BR>
 Ser. A17, Class A, 5.12%, 10/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>2,315,364</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Chase
 Manhattan Auto Owner Trust,<BR>
 Ser. B, Class A4, 4.88%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,801,647</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Citibank
 Credit Card Issuance Trust,<BR>
 Ser. A2, Class A2, 4.85%, 2/10/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,826,461</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>229</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Countrywide
 Asset-Backed Certificates,<BR>
 Ser. 16, Class 4AV1, 4.973%, 1/25/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>228,876</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,406</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>DaimlerChrysler
 Auto Trust,<BR>
 Ser. A, Class A3, 5.00%, 5/08/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,406,171</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ford Credit
 Auto Owner Trust,<BR>
 Ser. A, Class A4, 5.08%, 12/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,860,611</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Harley-Davidson
 Motorcycle Trust,<BR>
 Ser. 2, Class A2, 4.07%, 2/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,283,930</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Maryland
 Trust, Ser. 1, Class A, 5.55%, 12/10/65</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,371,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Asset
 Backed Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MBNA Credit
 Card Master Note Trust,<BR>
 Ser. A1, Class A, 4.90%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,830,207</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>New Century
 Home Equity Loan Trust,<BR>
 Ser. C, Class A2A, 4.953%, 1/25/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59,262</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>564</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>SLM Student
 Loan Trust,<BR>
 Ser. 5, Class A1, 5.084%, 1/25/18</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>564,436</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>471</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Structured
 Asset Investment Loan Trust,<BR>
 Ser. 1, Class A1, 4.953%, 1/25/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>469,358</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,725</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>USAA Auto
 Owner Trust, Ser. 1 Class A4,<BR>
 5.04%, 12/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,738,565</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24,756,763</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Interest Only Asset-Backed
 Securities&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sterling
 Coofs Trust,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,656</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1,
 2.365%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>561,620</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2,
 2.081%, 3/30/30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>272,114</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Interest Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>833,734</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Interest Only Mortgage-Backed
 Securities&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,104</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2579,
 Class HI, 5.00%, 8/15/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>242,617</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,772</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2611,
 Class QI, 5.50%, 9/15/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,047,320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 90,
 Class JH, 1.828%, 11/25/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,341,116</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,030</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 378,
 Class 5, 5.00%, 7/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>980,948</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,612,001</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Commercial Mortgage-Backed
 Securities&#151;6.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,180</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Banc of
 America Commerical Mortgage, Inc.,<BR>
 Ser. 1, Class A4, 4.871%, 11/10/42</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,163,105</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,720</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Credit
 Suisse First Boston Mortgage Securities Corp.,<BR>
 Ser. CP5, Class A2, 4.94%, 12/15/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,667,298</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Credit
 Suisse Mortgage Capital Certificates,<BR>
 Ser. C2, Class A3, 5.542%, 1/15/49</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,147,296</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,463</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>General
 Motor Acceptance Corp. Commercial Mortgage<BR>
 Securities, Inc., Ser. C3, Class A2, 7.179%, 8/15/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,504,810</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,973</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Goldman
 Sachs Mortgage Securities Corp. II,<BR>
 Ser. C1, Class A3, 6.135%, 10/18/30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,977,721</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,435</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Heller
 Financial Commercial Mortgage Asset Co.,<BR>
 Ser. PH1, Class A2, 6.847%, 5/15/31</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,453,914</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>JPMorgan
 Chase Commercial Mortgage Securities Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,140</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. C1,
 Class A3, 5.857%, 10/12/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,185,265</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,180</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. CBX,
 Class A4, 4.529%, 1/12/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,131,593</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,652</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>JPMorgan
 Commercial Mortgage Finance Corp.,<BR>
 Ser. C10, Class A2, 7.371%, 8/15/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,717,907</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,082</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Morgan
 Stanley Capital Trust I,<BR>
 Ser. HF2, Class A2, 6.48%, 11/15/30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,089,181</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,489</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Salomon
 Brothers Mortgage Securities VII,<BR>
 Ser. C1, Class A2, 7.52%, 12/18/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,619,954</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Commercial Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,658,044</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Corporate Bonds&#151;66.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Aerospace &amp;
Defense&#151;1.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bombardier,
 Inc., 8.00%, 11/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>156,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,195</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>DI
 Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,269,688</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>DRS
 Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.875%,
 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.625%,
 2/01/18</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>81,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>960</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Northrop
 Grumman Corp., 7.875%, 3/01/26</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,147,117</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sequa
 Corp., 9.00%, 8/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,088</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TransDigm,
 Inc., 7.75%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>122,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>United
 Technologies Corp., 4.875%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,088,382</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,951,175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#5C85B7" FACE=ARIAL><B>Automotive&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>265</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Accuride
 Corp., 8.50%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>249,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AutoNation,
 Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.00%,
 4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>145,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.243%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>146,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ford
 Capital BV, 9.50%, 6/01/10 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>604,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>11</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>

 </TR>
</table>

<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>

<HR SIZe=6 noshade color=#005695 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as of October 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM nowrap>
<P style="margin-left:15%"><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock Core Bond Trust (BHK)
(continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  style="margin-left:15%"><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages shown are based on Net Assets)</B> </FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="99%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Automotive&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Lear Corp., Ser. B, 8.75%, 12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>345,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Metaldyne Corp., 10.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>232,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,121,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Automotive</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,844,450</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>

<TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Basic Materials&#151;3.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>367,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>995</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>AK Steel Corp., 7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,014,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>American Pacific Corp., 9.00%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>256,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Bowater, Inc., 8.694%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>73,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>28,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>CPG Intl. I, Inc., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Domtar, Inc., 7.125%, 8/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>59,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Freeport-McMoRan Copper &amp; Gold, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,020</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.375%,
  4/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,116,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>330</FONT></P>
</TD>
<TD VALIGN=TOP>
 <P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.394%,
  4/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>340,725</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>66</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Huntsman LLC, 12.00%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>71,775</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Ineos Group Holdings Plc (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>285</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.875%,
  2/07/16 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>379,810</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,330</FONT></P>
</TD>
<TD VALIGN=TOP>
 <P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.50%,
  2/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,263,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>885</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Innophos, Inc., 8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>891,638</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>515</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Key
  Plastics LLC/Key Plastics Finance Corp.,<BR>
  11.75%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>437,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,705</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>NewPage Corp., 10.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,803,037</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Noranda, Inc. (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>825</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.00%,
  10/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>830,709</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.20%,
  6/15/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,200,827</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,430</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Teck Cominco Ltd., 6.125%, 10/01/35 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,354,563</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>430</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Terra Capital, Inc., Ser. B, 7.00%, 2/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>430,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12,121,134</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>

<TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Building &amp; Development&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>440</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Goodman
  Global Holding Co., Inc.,<BR>
  7.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>459,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Nortek, Inc., 8.50%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>123,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>North
  American Energy Partners, Inc.,<BR>
  8.75%, 12/01/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>669,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>

<TD VALIGN=TOP BGCOLOR="#E6E6E6"  colspan=4>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Commercial Services&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>FTI Consulting, Inc., 7.75%, 10/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>104,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Quebecor World, Inc., 9.75%, 1/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>195,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Commercial Services</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>299,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>

<TD VALIGN=TOP BGCOLOR="#E6E6E6"  colspan=4>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Consumer Products&#151;2.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Ames True Temper, Inc., 9.243%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>624,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Avis Budget
  Car Rental LLC/Avis Budget Finance, Inc.,<BR>
  8.058%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>29,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>775</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>CVS Caremark Corp., 6.25%, 6/01/27</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>770,626</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>695</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Federated Retail Holdings, Inc., 5.90%, 12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>663,511</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>General Nutrition Centers, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.009%,
  3/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>481,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.75%,
  3/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>389,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Kimberly-Clark Corp., 6.625%, 8/01/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>935,813</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,515</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Kraft Foods, Inc., 7.00%, 8/11/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,644,963</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>314</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Lazy Days RV Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>282,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Michaels Stores, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>470</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.00%,
  11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>473,525</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.375%,
  11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>598,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Pantry, Inc. (The), 7.75%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>975,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Quiksilver, Inc., 6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>163,188</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Reynolds American, Inc., 7.625%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>270,479</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>775</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Rite Aid Corp., 7.50%, 3/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>720,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>390</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Sally Holdings LLC, 10.50%, 11/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>388,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,410,880</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Containers &amp; Packaging&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Berry Plastics Holding Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.875%,
  9/15/14 </FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>276,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.569%,
  9/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>180,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Crown
  Americas LLC/Crown Americas Capital Corp.,<BR>
  7.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>154,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Graham Packaging Co., Inc., 8.50%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>74,438</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>298,426</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Owens Brockway, 8.25%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,560,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>545</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Pregis Corp., 12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>594,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,138,614</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Ecological Services &amp; Equipment&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>590</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Waste Services, Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>590,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Energy&#151;9.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Amerada Hess Corp., 7.125%, 3/15/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>469,065</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Anadarko Petroleum Corp., 6.45%, 9/15/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,377,558</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Berry Petroleum Co., 8.25%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>142,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Burlington
  Resources Finance Co.,<BR>
  7.40%, 12/01/31 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,031,161</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Canadian
  Natural Resources Ltd.,<BR>
  6.25%, 3/15/38 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>370,540</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Chaparral Energy, Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>298,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Chesapeake Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.375%,
  6/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>145,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.875%,
  11/15/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cleveland Electric Illuminating Co., 5.95%, 12/15/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>463,733</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Compagnie Generale de Geophysique-Veritas (France)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>55</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.50%,
  5/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>56,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.75%,
  5/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>92,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>235</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Compton Petroleum Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.625%,
  12/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>225,013</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Conoco Funding Co., 7.25%, 10/15/31 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>145,774</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>535</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>ConocoPhillips Funding Co., 5.95%, 10/15/36 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>548,451</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>ConocoPhillips Holding Co., 6.95%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>740,160</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Devon Energy Corp., 7.95%, 4/15/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>122,312</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>725</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>DTE Energy Co., 6.35%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>750,656</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>115</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Edison Mission Energy, 7.50%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>116,581</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>EDP Finance BV, 6.00%, 2/02/18 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,122,493</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>El Paso Natural Gas Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>265</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.625%,
  1/15/22</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>308,335</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.875%,
  6/15/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>262,282</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>124</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Elwood Energy LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>127,055</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>EnCana Corp., (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.50%,
  8/15/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,045,819</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.625%,
  8/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>739,318</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Encore Acquisition Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.00%,
  7/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>36,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.25%,
  12/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>57,450</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Energy East Corp., 6.75%, 7/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,546,705</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Exco Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>128,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Florida Power &amp; Light Co., 4.95%, 6/01/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>824,533</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Florida Power Corp., 6.35%, 9/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>708,736</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>KCS Energy, Inc., 7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>206,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Midamerican Energy Co., 5.80%, 10/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>680,105</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Midamerican Energy Holdings Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.95%,
  5/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>766,990</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,525</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.50%,
  9/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,563,997</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Midwest Generation LLC, Ser. B, 8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80,767</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>155</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Mirant Americas Generation LLC, 8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>156,744</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX> <FONT SIZE=1   FACE=ARIAL>1,050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Nakilat, Inc., 6.067%, 12/31/33 (Qatar)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>995,715</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Nexen, Inc., 6.40%, 5/15/37 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>547,239</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>NRG Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.25%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>285</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.375%,
  2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>284,288</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>





<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>12</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>

<HR SIZe=6 noshade color=#005695 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as of October 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM nowrap>
<P  style="margin-left:15%"><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock Core Bond Trust (BHK)
(continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  style="margin-left:15%"><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based on Net Assets)</B> </FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Energy&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ohio Edison
  Co., 6.875%, 7/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,047,284</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>425</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ONEOK
  Partners LP, 6.65%, 10/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>432,782</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>OPTI, Inc.,
  8.25%, 12/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>451,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Orion Power
  Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>143,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Pacificorp,
  6.25%, 10/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>590,146</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Pemex
  Project Funding Master Trust,<BR>
  9.625%, 12/02/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,725,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Public
  Service Co. of Colorado, 6.25%, 9/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,245,049</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>330</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sabine Pass
  LNG LP, 7.50%, 11/30/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>323,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Scottish
  Power Plc, 5.375%, 3/15/15<BR>
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>689,766</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>315</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>SemGroup
  LP, 8.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>302,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Southern
  California Edison Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.625%,
  2/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>596,659</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 05-E,
  5.35%, 7/15/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>113,955</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>645</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Suncor
  Energy, Inc., 6.50%, 6/15/38 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>675,171</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Targa
  Resources, Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>323,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trans-Canada
  Pipelines Ltd., 5.85%, 3/15/36 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>527,368</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Valero
  Energy Corp., 6.625%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>978,133</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Virginia
  Electric &amp; Power Co., Ser. A, 6.00%, 5/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,965,206</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Weatherford
  Int&#146;l., Inc., 6.80%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>655,387</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Whiting
  Petroleum Corp., 7.25%, 5/01/12-5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>368,638</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>XTO Energy,
  Inc., 6.75%, 8/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,064,924</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Energy</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>35,656,593</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>

<TD VALIGN=TOP  colspan=4>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"><B>Entertainment &amp; Leisure&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AMC
  Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200,263</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Circus
  &amp; Eldorado Joint Venture, 10.125%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,040,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Gaylord
  Entertainment Co., 6.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>145,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>335</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Greektown
  Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>333,325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Harrah&#146;s
  Operating Co., Inc., 5.75%, 10/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>276,562</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>260</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Seneca
  Gaming Corp., Ser. B, 7.25%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>261,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wynn Las
  Vegas LLC/Wynn Las Vegas Capital Corp.,<BR>
  6.625%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,296,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>

<TD VALIGN=TOP BGCOLOR="#E6E6E6"  colspan=4>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"><B>Financial Institutions&#151;23.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>American
  Real Estate Partners LP/American Real Estate Finance
  Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.125%,
  2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>312,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,165</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.125%,
  6/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,188,737</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bank of
  America Corp., 6.00%, 9/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,625,030</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bank of
  America NA, Ser. BKNT, 6.10%, 6/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,021,363</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bank One
  Corp., 3.70%, 1/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>324,161</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>BankBoston
  NA, 6.375%, 3/25/08-4/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,406,364</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,270</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bear
  Stearns Cos., Inc. (The), Ser. MTN,<BR>
  6.95%, 8/10/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,321,679</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Belvoir
  Land LLC, Ser. A1, 5.27%, 12/15/47</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>310,765</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,075</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Berkshire
  Hathaway Finance Corp., 4.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,059,247</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>181</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>BMS
  Holdings, Inc., 12.40%, 2/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>173,374</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Chubb
  Corp., 6.00%, 5/11/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,070,352</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CitiFinancial,
  6.25%, 1/01/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600,878</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Citigroup,
  Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>3,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>3.625%,
  2/09/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,891,149</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>4,790</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.125%,
  2/22/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,709,978</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,020</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.25%, 7/29/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,007,887</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,005</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.875%,
  2/22/33-5/29/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>955,122</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.875%,
  2/15/98</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>534,624</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>3,775</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Depfa ACS
  Bank, 5.125%, 3/16/37 (Ireland)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,570,723</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ford Motor
  Credit Co. LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>340</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.80%,
  6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>319,456</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.993%,
  1/13/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>185,155</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Fort Irwin
  Land LLC, Ser. A-1, 5.03%, 12/15/25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>495,254</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>6,855</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General
  Electric Capital Corp., Ser. GMTN,<BR>
  6.15%, 8/07/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,103,041</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"><B>Financial
Institutions&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Goldman
  Sachs Group, Inc. (The),</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,415</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.35%,
  1/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,377,548</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,885</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.45%,
  11/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,914,139</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>135</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.25%,
  9/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140,028</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Hartford
  Life Global Funding Trusts,<BR>
  Ser. MTN, 5.864%, 9/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>924,002</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>825</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>HBOS
  Treasury Services Plc,<BR>
  3.75%, 9/30/08 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>812,767</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>775</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>HSBC Bank
  NA, 5.875%, 11/01/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>716,502</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>HSBC
  Holdings Plc, 6.50%, 5/02/36 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>296,167</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>799</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>iPayment
  Investors LP, 11.625%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>822,779</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>240</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>iPayment,
  Inc., 9.75%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>230,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Irwin Land
  LLC, 5.40%, 12/15/47</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,378,395</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,950</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>JPMorgan
  Chase Capital XXV, Ser. Y, 6.80%, 10/01/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,945,643</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers Holdings, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.50%,
  7/19/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,888,348</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. MTN,
  7.394%, 9/15/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>536,446</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,525</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>MetLife,
  Inc., 5.70%, 6/15/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,413,587</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Metropolitan
  Global Funding I, 4.25%, 7/30/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,136,666</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Momentive
  Performance Materials, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.75%,
  12/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>405</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.50%,
  12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>390,825</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,810</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Monumental
  Global Funding Ltd.,<BR>
  Ser. MTN, 5.24%, 6/16/10 (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,793,710</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>3,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.493%,
  1/09/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,246,860</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>525</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.25%,
  8/09/26</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>517,443</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. MTN,
  6.25%, 8/28/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,740,576</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. MTN,
  5.55%, 4/27/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,338,083</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>New York
  Life Global Funding, 3.875%, 1/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>843,505</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ohana
  Military Communities LLC, Ser. 04I, 6.193%, 4/01/49</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>357,088</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Prudential
  Financial, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.90%,
  3/17/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>471,162</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. MTN, 5.70%,
  12/14/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>626,303</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Prudential
  Funding LLC, 6.60%, 5/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,006,033</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Rainbow
  National Services LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.75%,
  9/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>208,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>943</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.375%,
  9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,037,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>SLM Corp.,
  5.384%, 1/27/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>486,399</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>2,170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Structured
  Asset Receivable Trust, 5.68%, 1/21/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,148,367</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>SunTrust
  Bank,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>995</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.00%,
  10/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>985,997</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,265</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.415%,
  6/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,249,858</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>235</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TIAA Global
  Markets, Inc., 3.875%, 1/22/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>234,326</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Travelers
  Cos., Inc., Ser. MTN, 6.25%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>961,956</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Universal
  City Florida Holding Co. I/II, 9.661%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>51,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>2,790</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>US Bank NA,
  6.50%, 2/01/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,794,765</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>USAA
  Capital Corp., 4.00%, 12/10/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>494,478</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wells Fargo
  &amp; Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,031</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>3.12%,
  8/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,013,318</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>355</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.20%,
  1/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>349,594</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,665</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.625%,
  8/09/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,648,918</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>435</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.875%,
  1/12/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>432,628</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>540</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wells Fargo
  Bank NA, 5.95%, 8/26/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>532,155</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>605</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Wimar Opco
  LLC/Wimar Opco Finance Corp.,<BR>
  9.625%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>453,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,775</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Xstrata
  Finance Ltd., 5.80%, 11/15/16 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,760,351</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Financial Institutions</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>86,933,629</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"><B>Health Care&#151;3.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,205</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX> <FONT SIZE=1 FACE=ARIAL><SUP>1,3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Amgen,
  Inc., 5.585%, 11/28/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,202,827</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AstraZeneca
  Plc, 6.45%, 9/15/37 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,712,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>340</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bristol-Myers
  Squibb Co., 5.875%, 11/15/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>333,724</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>2,275</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Eli Lilly
  &amp; Co., 5.55%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,172,348</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Johnson
  &amp; Johnson, 5.95%, 8/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,176,591</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Schering-Plough
  Corp., 6.55%, 9/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,165,932</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>13</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>

 </TR>
</table>

<BR>





<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>

<HR SIZe=6 noshade color=#005695 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P ><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as of October 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM nowrap>
<P  style="margin-left:15%"><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock Core Bond Trust (BHK)
(continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  style="margin-left:15%"><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based on Net Assets)</B> </FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"><B>Health Care&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,020</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Tenet
  Healthcare Corp., 6.50%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>864,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Teva
  Pharmaceutical Finance LLC, 6.15%, 2/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>979,429</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>870</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>UnitedHealth
  Group, Inc., 5.80%, 3/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>837,188</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>WellPoint,
  Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>955</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.85%, 1/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>897,356</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.95%,
  12/15/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>82,113</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wyeth,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>925</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.95%,
  4/01/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>914,805</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.00%,
  2/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>668,576</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>



<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Health Care</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,007,639</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"><B>Industrials&#151;1.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>3M Co.,
  Ser. MTN, 5.70%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,579,348</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AGY Holding
  Corp., 11.00%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>354,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Hexcel
  Corp., 6.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>137,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Honeywell
  Intl., Inc., 5.70%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>947,863</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Park-Ohio
  Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>111,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>RBS Global,
  Inc./Rexnord Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>480</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.50%,
  8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>495,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>505</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.75%,
  8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>535,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sunstate
  Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>912,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Industrials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,074,161</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"><B>Media&#151;6.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Affinion
  Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>515</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.125%,
  10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>536,887</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.50%,
  10/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>187,650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>American
  Media Operations, Inc., Ser. B, 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>95,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AOL Time
  Warner, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.625%,
  5/15/29</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>90,172</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,040</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.57%,
  2/01/24</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,331,311</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>205</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.625%,
  4/15/31</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>228,088</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.70%,
  5/01/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>95,515</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cablevision
  Systems Corp., Ser. B, 9.644%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>184,950</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CanWest
  MediaWorks, Inc., 8.00%, 9/15/12 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>107,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>430</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Charter
  Communications Holdings I LLC/Charter<BR>
  Communications Holdings I Capital Corp.,<BR>
  11.00%, 10/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>417,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Charter
  Communications Holdings II LLC/Charter</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Communications
  Holdings II Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,545</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.25%,
  9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,575,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. B,
  10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>132,275</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>645</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CMP
  Susquehanna Corp., 9.875%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>592,594</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Comcast
  Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>790</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.45%,
  3/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>796,377</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.50%,
  1/15/17-11/15/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,464,004</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.95%,
  8/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>26,753</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Dex Media
  West LLC/Dex Media Finance Co.,<BR>
  Ser. B, 9.875%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>79,969</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>DirecTV
  Holdings LLC/DirecTV Financing Co.,<BR>
  8.375%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>EchoStar
  DBS Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.75%,
  10/01/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>174,563</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>290</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.00%,
  10/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>301,962</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.125%,
  2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>78,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>620</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Idearc,
  Inc., 8.00%, 11/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>621,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ION Media
  Networks, Inc., 8.493%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>601,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>485</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Network
  Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>488,031</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>News
  America Holdings, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>985</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.625%,
  11/30/28</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,092,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.70%,
  10/30/25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>917,857</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.45%,
  8/01/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>755,622</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>560</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Nexstar
  Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>537,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Nielsen
  Finance LLC/Nielsen Finance Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.115%,
  8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>216,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>965</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.00%,
  8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,015,662</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>865</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>RH
  Donnelley Corp., Ser. A-3, 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>865,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Sirius Satellite Radio, Inc., 9.625%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>69,563</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>TCI Communications, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.125%,
  2/15/28</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>212,777</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>620</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.875%,
  8/01/13-2/15/26</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>705,603</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Time Warner Cos., Inc., 6.95%, 1/15/28</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>72,559</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>TL Acquisitions, Inc., 10.50%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>995,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Univision Communications, Inc., 9.75%, 3/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>343,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>645</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Vertis, Inc., 9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>645,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,205</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Young Broadcasting, Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,132,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Media</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>22,916,769</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Real Estate&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>AvalonBay Communities, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.625%,
  9/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>364,056</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>775</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.25%,
  7/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>792,236</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Rouse Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>895</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>3.625%,
  3/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>853,281</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.375%,
  11/26/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,495,190</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Real Estate</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,504,763</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Technology&#151;1.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Amkor Technology, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.75%,
  5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>77,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>145</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.25%,
  6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>148,263</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Celestica, Inc., 7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>240,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Freescale Semiconductor, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>655</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.125%,
  12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>592,775</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.569%,
  12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>128,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>3,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Intl. Business Machines Corp., 5.70%, 9/14/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,171,831</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>440</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>415,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>630</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Sanmina-SCI Corp., 8.125%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>552,825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>SunGard Data Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>105</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.125%,
  8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>107,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>610</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.25%,
  8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>635,925</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>945</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Superior Essex Communications LLC/Essex Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.00%,
  4/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>933,187</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Technology</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,003,731</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Telecommunications&#151;8.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>2,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>AT&amp;T, Inc., 6.50%, 9/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,032,607</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>BellSouth Telecommunications, 6.402%, 12/15/95</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>902,807</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Cincinnati Bell, Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>210,525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>225</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cricket Communications, Inc., 9.375%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>223,313</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Deutsche Telekom Intl. Finance BV,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.75%,
  3/23/16 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,007,887</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Digicel Group Ltd., (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>240</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.875%,
  1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>224,112</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>560</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.125%,
  1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>523,340</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Hawaiian
  Telcom Communications, Inc.,<BR>
  Ser. B, 10.318%, 5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>192,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Intelsat Corp., 9.00%, 6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>485,687</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Intelsat Ltd. (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>95</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.886%,
  1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>96,425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.25%,
  6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>518,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.25%,
  6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>215,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>870</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.409%,
  6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>906,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>295</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Intelsat
  Subsidiary Holding Co. Ltd.,<BR>
  8.625%, 1/15/15 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>299,425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>MetroPCS Wireless, Inc., 9.25%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>119,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE="MARGIN-TOP:3PX"><FONT SIZE=1   FACE=ARIAL>770</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Nordic
  Telephone Co. Holdings A.p.S.,<BR>
  8.875%, 5/01/16 (Denmark)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>814,275</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Nortel Networks Ltd., 9.493%, 7/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,106,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>155</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>PanAmSat Corp., 9.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>158,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Qwest Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.875%,
  9/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>211,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>470</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.944%,
  6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>501,137</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>780</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>SBC Communications, Inc., 6.45%, 6/15/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>810,601</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,715</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Sprint Capital Corp., 6.875%, 11/15/28</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,642,877</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>

<TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</td>
</tr>



 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>14</FONT></P>
 </TD>
 </TR>
</table><BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>

<HR SIZe=6 noshade color=#005695 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as of October 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM nowrap>
<P style="margin-left:15%"><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock Core Bond Trust (BHK)
(continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-left:15%"><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based on Net Assets)</B> </FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Telecom Italia Capital S.A. (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,075</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.95%,
  9/30/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,028,927</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.00%,
  9/30/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,484,579</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Telefonica Emisones SAU, 7.045%, 6/20/36 (Spain)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,169,348</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>725</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Telefonica Europe BV, 7.75%, 9/15/10 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>776,297</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Verizon Global Funding Corp., 7.75%, 12/01/30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>82,465</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Verizon Maryland, Inc., 5.125%, 6/15/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>104,256</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Verizon New Jersey, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.85%,
  11/15/29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>261,440</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>335</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. A,
  5.875%, 1/17/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>342,618</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>3,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Verizon Virginia, Inc., 4.625%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,024,873</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Vodafone Group Plc, (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,465</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.288%,
  12/28/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,465,296</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,504</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.75%,
  2/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,648,073</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>West Corp., 11.00%, 10/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,152,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Wind
  Acquisition Finance S.A.,<BR>
  10.75%, 12/01/15 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>389,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Windstream Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.125%,
  8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>528,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.625%,
  8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>246,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>31,906,965</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Transportation&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>115</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>American
  Airlines, Inc., Ser. 99-1, 7.324%,4/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>113,563</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Britannia
  Bulk Plc, 11.00%, 12/01/11 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>115,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Canadian
  National Railway Co., 6.25%, 8/01/34 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>352,778</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>405</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CHC
  Helicopter Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>391,837</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Navios
  Maritime Holdings, Inc.,<BR>
  9.50%, 12/15/14 (Marshall Islands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>528,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>St.
  Acquisition Corp., 12.50%, 5/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>229,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Transportation</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,731,928</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>244,058,381</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"><B>U.S. Government and Agency
Securities&#151;5.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,670</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Aid to
  Israel, 5.50%, 4/26/24-9/18/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,753,313</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Resolution
  Funding Corp., Zero Coupon,<BR>
  7/15/18-10/15/18</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>623,776</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,655</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Tennessee
  Valley Authority, Ser. C, 5.88%, 4/01/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,829,397</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>330</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Bonds, 4.75%, 2/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>329,820</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>5,832</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Inflation Protected Bond, 2.375%, 1/15/27</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,982,762</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>10,450</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Notes, 4.75%, 8/15/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,680,242</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total U.S.
  Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>21,199,310</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"> <B>Foreign Government Bond&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>France,
  3.75%, 4/25/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,522,816</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL COLOR="#005695"><B>Non-Agency Multiple Class Mortgage Pass-Through
Securities&#151;5.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Countrywide
  Alternative Loan Trust,<BR>
  Ser. 64CB, Class 1A15, 5.50%, 12/25/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,504,462</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>2,755</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CW Capital
  Cobalt Ltd., Ser. C3, Class A4, 5.82%, 5/15/46</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,830,870</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>First Union
  National Bank Commercial Mortgage,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,044</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. C3,
  Class A3, 6.423%, 8/15/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,151,030</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,265</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. C4,
  Class A2, 6.223%, 12/12/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,340,547</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General
  Motor Acceptance Corp. Commercial Mortgage<BR>
  Securities, Inc., Ser. C4, Class A2, 4.93%,7/10/39</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,308,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>960</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>JPMorgan
  Chase Commercial Mortgage Securities Corp.,<BR>
  Ser. LDP9, Class A3, 5.336%, 5/15/47</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>936,591</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>2,275</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>LB-UBS
  Commercial Mortgage Trust, Ser. C6, Class A4,<BR>
  5.858%, 7/15/40</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,304,488</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Merrill
  Lynch Mortgage Trust, Ser. C1, Class AM,<BR>
  5.83%, 6/12/50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>933,463</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley Capital I, Ser. T27, Class A4,<BR>
  5.651%, 6/11/42</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>999,692</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,305</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Structured
  Asset Securities Corp., Ser. AL1, Class A2,<BR>
  3.45%, 2/25/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,977,073</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT   SIZE=1 FACE=ARIAL>Wachovia
  Bank Commercial Mortgage Trust, Ser. C33,<BR>
  Class A4, 5.903%, 2/15/51</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,017,710</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Non-Agency
  Multiple Class Mortgage<BR>
  Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20,304,676</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Taxable Municipal Bond&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Illinois St. Pension, 5.10%, 6/01/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>948,570</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Trust Preferred Stocks&#151;3.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Allstate Corp., 6.50%, 5/15/57</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,890,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>545</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>BAC Capital Trust XI, 6.625%, 5/23/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>553,198</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,3,8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Barclays Bank Plc, 7.434% (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>901,035</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>915</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,3,8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Credit Agricole S.A., 6.637% (France)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>869,590</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Credit Suisse Ltd., 5.86% (Guernsey)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,443,920</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Lincoln National Corp., 6.05%, 4/20/67</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>646,921</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>790</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Peco Energy Capital Trust IV, 5.75%, 6/15/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>672,418</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>605</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Progressive Corp., 6.70%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>593,676</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>2,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Royal Bank of Scotland Group Plc, Ser. MTN,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>7.64% (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,280,326</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,3,8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Societe Generale, 5.922% (France)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>951,690</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Travelers Cos., Inc., 6.25%, 3/15/67</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>655,470</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>1,3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>ZFS Finance Trust I, 6.50%, 5/09/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>649,622</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Trust Preferred Stocks</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12,108,666</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=6 COLOR=#005695>
<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Common Stocks&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>1,895</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>9,10</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Critical Care Systems Intl., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11,826</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Preferred Stocks&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>55,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Deutsche Bank Contingent Capital Trust II, 6.55%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,317,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>45,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Superior Essex Holding Corp., Ser. A, 9.50%</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>27,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Preferred Stocks</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,345,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Total Long-Term Investments<BR>
  (cost $586,479,015)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>584,484,025</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=6 COLOR=#005695>
<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>BORROWED BOND AGREEMENTS&#151;21.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Lehman Brothers Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>50,927</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>12</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>4.47%, 11/08/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,927,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT  STYLE=MARGIN-TOP:3PX><FONT SIZE=1   FACE=ARIAL>29,563</FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 FACE=ARIAL><SUP>12</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>4.45%, 11/08/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>29,563,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Total Borrowed Bond Agreements</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>(cost $80,490,000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80,490,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=6 COLOR=#005695>
<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Notional<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>


<TD VALIGN=TOP BGCOLOR="#E6E6E6" colspan=4>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>OUTSTANDING OPTIONS PURCHASED&#151;1.0%</B></FONT></P>
</TD>

<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>3,880</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>EUR Put Option, strike price $1.40, expires 1/10/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,186</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Interest Rate Swaps,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>6,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trust pays
  3-month LIBOR, Trust receives 5.39%,<BR>
  expires 3/19/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>267,762</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>4,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trust pays
  3-month LIBOR, Trust receives 5.52%,<BR>
  expires 9/21/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>289,016</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>7,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trust pays
  3-month LIBOR, Trust receives 5.79%,<BR>
  expires 8/16/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>392,551</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>7,675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trust pays
  3-month LIBOR, Trust receives 6.025%,<BR>
  expires 6/08/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>471,859</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>7,675</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trust pays
  3-month LIBOR, Trust receives 6.025%,<BR>
  expires 6/08/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>242,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>6,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trust pays
  5.39%, Trust receives 3-month LIBOR,<BR>
  expires 3/19/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>322,872</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>11,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trust pays
  5.47%, Trust receives 3-month LIBOR,<BR>
  expires 5/08/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>480,480</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>11,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trust pays
  5.47%, Trust receives 3-month LIBOR,<BR>
  expires 5/08/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>523,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>

<tr>
<TD VALIGN=TOP>
 <P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>

 </TR>


 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>15</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>

 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as
of October 31, 2007&nbsp;&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM nowrap>
<P ALIGN=RIGHT><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock Core Bond Trust (BHK) (concluded)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B>(Percentages shown are based
on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>OUTSTANDING
 OPTIONS PURCHASED&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.52%, Trust receives 3-month LIBOR,<BR>
 expires 9/21/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>332,459</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.79%, Trust receives 3-month LIBOR,<BR>
 expires 8/16/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>204,273</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT  SIZE=1 FACE=ARIAL><B>Total Outstanding Options Purchased<BR>(cost $3,247,804)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,543,358</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Total Investments before borrowed bonds,<BR>
 TBA sale commitments, and outstanding<BR>
 options written (cost $670,216,819<SUP>11</SUP>)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>668,517,383</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>
<BR>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="8" VALIGN=TOP>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
</TD>
</TR>




<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial><BR><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial COLOR="#005695"><B>BORROWED BONDS&#151;(21.8)%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>U.S. Treasury Notes,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(50,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 face=arial>4.00%, 8/31/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(50,835,712</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(29,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 face=arial>4.125%, 8/31/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(29,569,927</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial><B>Total
 Borrowed Bonds</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial><B>(proceeds
 $80,372,938)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(80,405,639</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 face=arial COLOR="#005695"><B>TBA SALE COMMITMENTS&#151;(1.3)%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(4,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>Federal National Mortgage
 Assoc., 6.00%, 11/13/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(4,431,627</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT face=arial SIZE=1>Government National Mortgage Assoc.,<BR>
 5.50%, 11/20/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(198,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial><B>Total TBA
 Sale Commitments<BR>
 (proceeds $4,627,832)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>(4,630,377</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 face=arial>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD COLSPAN="8" VALIGN=TOP>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
</TD>
</TR>














<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><BR><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>OUTSTANDING
 OPTIONS WRITTEN&#151;(0.4)%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Interest Rate Swaps,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.135%,<BR>
 expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(90,551</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(6,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.148%,<BR>
 expires 3/19/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(107,646</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.485%,<BR>expires 10/28/19</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT FACE=ARIAL SIZE=1>(132,205</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(11,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.67%,<BR>
 expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(292,905</FONT></P>
</TD>
<TD  VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(6,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.115%, Trust receives 3-month LIBOR,<BR>
 expires 3/19/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(107,316</FONT></P>
</TD>
<TD  VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.135%, Trust receives 3-month LIBOR,<BR>
 expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(90,551</FONT></P>
</TD>
<TD  VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.485%, Trust receives 3-month LIBOR,<BR>
 expires 10/28/19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(176,797</FONT></P>
</TD>
<TD  VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(11,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.67%, Trust receives 3-month LIBOR,<BR>
 expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(556,370</FONT></P>
</TD>
<TD  VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Total Outstanding Options Written<BR>
 (premium received $2,261,545)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,554,341</FONT></P>
</TD>
<TD  VALIGN=bottom>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Total Investments net of borrowed bonds, TBA sale <BR>
 commitments and outstanding options written&#151;158.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>581,927,026</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Liabilities in excess of other
 assets&#151;(58.0)%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(213,591,799</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Net Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>$</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>368,335,227</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>Variable rate security. Rate shown is interest rate as of
 October 31, 2007.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>Entire or partial principal amount pledged as collateral
 for reverse repurchase agreements. See Note 4 in the Notes to Financial
 Statements for details of open reverse repurchase agreements.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>Security is not registered under the Securities Act of
 1933. These securities may be resold in transactions in accordance with Rule
 144A under that Act, to qualified institutional buyers. As of October 31,
 2007, the Trust held 9.9% of its net assets, with a current market value of
 $36,518,999, in securities restricted as to resale.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>Security, or a portion thereof, pledged as collateral with
 a value of $4,615,550 on 134 long Eurodollar futures contracts expiring
 December 2007 to March 2008, 198 long U.S. Treasury Note futures contracts
 expiring December 2007, 1,153 long U.S. Treasury Bond futures contracts
 expiring December 2007, 163 short Eurodollar futures contracts expiring
 December 2007, 3,130 short U.S. Treasury Note futures contracts expiring
 December 2007 and 224 short U.S. Treasury Note futures contracts expiring
 December 2007. The notional value of such contracts on October 31, 2007 was
 $243,902,499, with an unrealized loss of $519,568.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>Illiquid security. As of October 31, 2007, the Trust held
 0.6% of its net assets, with a current market value of $2,148,367, in these
 securities.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>6</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>Represents a step up bond; the interest rate shown
 reflects the effective yield at the time of purchase.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>Represents an investment in an affiliate.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>The security is a perpetual bond and has no stated
 maturity date.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>9</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>Non-income producing security.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>10</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL>Security is fair valued.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL> 11</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL> Cost for federal income tax
 purposes is $671,388,702. The net unrealized depreciation on a tax basis is
 $2,871,319, consisting of $6,742,797 gross unrealized appreciation and
 $9,614,116 gross unrealized depreciation.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL> 12</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX><FONT SIZE=1 FACE=ARIAL> See Note 1 in the Notes to
 Financial Statements for details of borrowed bond agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL> &nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL> &nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>For Trust compliance purposes, the Trust&#146;s sector and
 industry classifications refer to any one or more of the Standard Industry
 Codes as defined by the SEC. This definition may not apply for purposes of
 this report, which may combine sector and industry sub-classifications for
 reporting ease.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>



<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>16</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="70%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="30%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as
of October 31, 2007&nbsp;&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM nowrap>
<P ><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock High Yield Trust (BHY)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP NOWRAP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based
on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>


<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="74%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM colspan=2>
<P align=center><FONT SIZE=1 FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>LONG-TERM
 INVESTMENTS&#151;116.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Corporate
 Bonds&#151;110.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Aerospace
 &amp; Defense&#151;3.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>AAR Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>330</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.875%,
 12/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>330,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. A2,
 8.39%, 5/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>353,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Bombardier, Inc., 8.00%, 11/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>104,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>410</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>435,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>DRS Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.875%,
 11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.625%,
 2/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>102,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>L-3 Communications Corp., 5.875%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Sequa Corp., 9.00%, 8/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>TransDigm, Inc., 7.75%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>101,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,529,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Automotive&#151;5.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Accuride Corp., 8.50%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>79,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Allison Transmission, 11.25%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>182,456</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Asbury Automotive Group, Inc., 7.625%, 3/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>56,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>AutoNation, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.00%,
 4/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.243%,
 4/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>78,200</FONT></P>

</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>520</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ford Capital BV, 9.50%, 6/01/10 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>523,900</FONT></P>

</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ford Motor Co., 8.90%, 1/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110,313</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Goodyear Tire &amp; Rubber Co. (The),</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>




<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.857%,
 8/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>41,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>156</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.625%,
 12/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>166,140</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>195</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Lear Corp., Ser. B, 8.75%, 12/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>255</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Metaldyne Corp., 10.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>237,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Penske Auto Group, Inc., 7.75%, 12/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>175,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Rent-A-Center, Inc., 7.50%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>238,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Stanadyne Corp., 10.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>355,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Automotive</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,518,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Basic
 Materials&#151;11.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>AK Steel Corp., 7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Abitibi-Consolidated, Inc., (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>165</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%,
 6/20/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>121,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.85%,
 8/01/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>205</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Alpha
 Natural Resources LLC/Alpha Natural Resources<BR>
 Capital Corp., 10.00%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>218,325</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>American Pacific Corp., 9.00%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>143,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Bowater Finance Corp., 7.95%, 11/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>98,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Bowater, Inc., 8.694%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>118,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>CPG Intl. I, Inc., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Cascades, Inc., 7.25%, 2/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>169,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Catalyst Paper Corp., 7.375%, 3/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Domtar, Inc., 7.125%, 8/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Equistar Chemicals LP/Equistar Funding Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>66</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.125%,
 9/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>68,145</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>57</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.625%,
 5/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59,565</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>FMG Finance Ltd. (Australia)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 9/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.625%,
 9/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>142,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Freeport-McMoRan Copper &amp; Gold, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.375%,
 4/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>602,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.394%,
 4/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Huntsman LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.50%,
 7/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>103,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>365</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.625%,
 10/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>386,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>205</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ineos Group
 Holdings Plc, 8.50%, 2/15/16<BR>
 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>194,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>545</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Innophos, Inc., 8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>549,087</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


</TABLE>

<BR>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="74%" VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000) </B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Basic
 Materials&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Key Plastics LLC/Key Plastics Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.75%,
 3/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>260</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Lyondell Chemical Co., 10.50%, 6/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>280,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>265</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>MacDermid, Inc., 9.50%, 4/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>253,075</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>NewPage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>450</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 5/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>475,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>12.00%,
 5/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>226,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>NOVA Chemicals Corp., 8.484%, 11/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>103,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Russel Metals, Inc., 6.375%, 3/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>118,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ryerson, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>12.00%,
 11/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>102,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>12.574%,
 11/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>61,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Steel Dynamics, Inc., 7.375%, 11/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Terra Capital, Inc., Ser. B, 7.00%, 2/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,642,510</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Building
 &amp; Development&#151;1.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ainsworth Lumber Co. Ltd., 8.981%, 10/01/10 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Goodman Global Holding Co., Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.875%,
 12/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>167,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.36%,
 6/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32,160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>K. Hovnanian Enterprises, Inc., 6.25%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>192,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Masonite Intl. Corp., 11.00%, 4/06/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>84,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Nortek, Inc., 8.50%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>97,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>335</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>North American Energy Partners, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.75%,
 12/01/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>338,350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>942,310</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Commercial
 Services&#151;0.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>FTI Consulting, Inc., 7.75%, 10/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>104,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>145</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Quebecor World, Inc., 9.75%, 1/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>141,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>U.S. Investigations Services, Inc., 10.50%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>95,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Commercial Services</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>341,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Consumer
 Products&#151;6.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>265</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ames True Temper, Inc., 9.243%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>254,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.058%,
 5/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Bausch &amp; Lomb, Inc., 9.875%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>72,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Beverages &amp; More, Inc., 9.25%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Buffets, Inc., 12.50%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>84,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>General Nutrition Centers, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.009%,
 3/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>269,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.75%,
 3/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>243,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Jarden Corp., 7.50%, 5/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>142,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Lazy Days RV Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>427,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Michaels Stores, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>260</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 11/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>261,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>330</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.375%,
 11/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>329,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Neiman-Marcus Group, Inc., 9.00%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>265</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Pantry, Inc. (The), 7.75%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>258,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Quiksilver, Inc., 6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Reynolds American, Inc., 7.625%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>129,830</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Rite Aid Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.50%,
 3/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>372,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.375%,
 12/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>73,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Sally Holdings LLC,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.25%,
 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.50%,
 11/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>268,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Yankee Acquisition Corp., Ser. B, 9.75%, 2/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>101,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,509,605</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Containers
 &amp; Packaging&#151;3.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Berry Plastics Holding Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.875%,
 9/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>348,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.569%,
 9/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Crown Americas LLC/Crown Americas Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.75%,
 11/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT FACE=ARIAL SIZE=1>See Notes to Financial
Statements.</FONT></P>


<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>17</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</TABLE>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="70%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="30%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as
of October 31, 2007&nbsp;&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM nowrap>
<P ><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock High Yield Trust (BHY) (continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based
on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>





<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Containers
 &amp; Packaging&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Graham Packaging Co., Inc., 8.50%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>109,175</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Graphic Packaging Intl. Corp., 9.50%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>268,584</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>310</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Pregis Corp., 12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>337,900</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Smurfit-Stone Container Enterprises, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.00%,
 3/15/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>372,656</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,656,115</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Ecological
 Services &amp; Equipment&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Aleris Intl., Inc., 9.00%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>243,675</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Waste Services, Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>428,675</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;15.9%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>AES Red Oak LLC, Ser. A, 8.54%, 11/30/19</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>139,162</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Berry Petroleum Co., 8.25%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>81,600</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Chaparral Energy, Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Chesapeake Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.375%,
 6/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87,300</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.625%,
 1/15/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>245,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.875%,
 11/15/20</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,550</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Compagnie Generale de Geophysique-Veritas (France)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.50%,
 5/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.75%,
 5/15/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>82,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>115</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Compton Petroleum Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.625%,
 12/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110,113</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Copano Energy LLC, 8.125%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>71,925</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>407</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Corral Finans AB, 6.855%, 4/15/10 (Sweden)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>384,865</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Denbury Resources, Inc., 7.50%, 12/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,450</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>260</FONT></P>
</TD>
<TD VALIGN=top>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=top>
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>East Cameron
 Gas Co., 11.25%, 7/09/19<BR>
 (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>249,600</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>480</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Elwood Energy LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>492,337</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Encore Acquisition Co.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%,
 7/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>36,200</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.25%,
 12/01/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,725</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>475</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Energy Future Holdings, 11.25%, 11/01/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>480,937</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>370</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Exco Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>365,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Forest Oil Corp., 7.25%, 6/15/19</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>190,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>65</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Frontier Oil Corp., 6.625%, 10/01/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,675</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>97</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Homer City Funding LLC, 8.734%, 10/01/26</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>107,670</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Hornbeck Offshore Services, Inc., 6.125%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,763</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>440</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT FACE="arial" SIZE="1">&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>KCS Energy, Inc., 7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>433,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>96</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Midwest Generation LLC, Ser. B, 8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>103,203</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Mirant Americas Generation LLC, 8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>353,937</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Newfield Exploration Co., 6.625%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>29,475</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>NRG Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.25%,
 2/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>385</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.375%,
 2/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>384,037</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>440</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><FONT FACE="arial" SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>OPTI, Inc., 8.25%, 12/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>441,100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>345</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Orion Power Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>381,225</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Range Resources Corp., 7.375%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,237</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Sabine Pass LNG LP, 7.50%, 11/30/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>127,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>SemGroup LP, 8.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>201,600</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Sithe Independence Funding, Ser. A, 9.00%, 12/30/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,349</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Targa Resources, Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>202,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>160</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Tennessee Gas Pipeline Co., 8.375%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>186,512</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>450</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Texas Competitive Electric Holdings Co. LLC,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.25%,
 11/01/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>452,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Transcontinental Gas Pipe Line Corp., Ser. B,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.875%,
 7/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>449,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>495</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>486,963</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Energy</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,059,835</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Entertainment
 &amp; Leisure&#151;4.8%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>AMC Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>162,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1 FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>French Lick
 Resorts &amp; Casino LLC/French Lick<BR>
 Resorts &amp; Casino Corp., 10.75%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>99,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Gaylord Entertainment Co.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>280</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.75%,
 11/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>271,600</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.00%, 11/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Great Canadian Gaming Corp., 7.25%, 2/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>318,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Greektown Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>184,075</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Harrah&#146;s Operating Co., Inc., 5.75%, 10/01/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>154,875</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>MGM Mirage, 6.75%, 9/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59,100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Pinnacle Entertainment, Inc., 7.50%, 6/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>193,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>115</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Riddell Bell Holdings, Inc., 8.375%, 10/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Seneca Gaming Corp., Ser. B, 7.25%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>141,050</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Station Casinos, Inc., 6.625%, 3/15/18</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,625</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Travelport LLC, 10.246%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60,300</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>435</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Virgin River Casino, 9.00%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>411,075</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.625%,
 12/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>68,775</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,455,425</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Financial
 Institutions&#151;10.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>AES Red Oak LLC, Ser. B, 9.20%, 11/30/29</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>568,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Alliant Holdings I, Inc., 11.00%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>288,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>American Real Estate Partners LP/American Real Estate</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.125%,
 2/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.125%,
 6/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>302,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>112</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>BMS Holdings, Inc., 12.40%, 2/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>107,084</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Dow Jones CDX HY, Ser. 6-T1, 8.625%, 6/29/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>528,050</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Ford Motor Credit Co. LLC,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.80%,
 6/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>469,787</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.993%,
 1/13/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>101,835</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>General Motors Acceptance Corp. LLC, 8.00%, 11/01/31</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>36,973</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.75%,
 11/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>82,312</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.058%,
 11/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>103,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>442</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>iPayment Investors LP, 11.625%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>455,155</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>iPayment, Inc., 9.75%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>115,200</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>LVB Acquisition Merger Sub, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 10/15/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>77,063</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.375%,
 10/15/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75,938</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><FONT SIZE=1 face=arial><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.625%,
 10/15/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>101,875</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Momentive Performance Materials, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.75%,
 12/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>170,625</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.125%,
 12/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>38,600</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>285</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.50%,
 12/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>275,025</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>69,300</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>220</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>PNA Intermediate Holding Corp., 12.36%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>216,150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Rainbow National Services LLC,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>310</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.75%,
 9/01/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>322,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>318</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.375%,
 9/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>349,800</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>USI Holdings Corp., 9.433%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Universal City Florida Holding Co. I/II, 9.661%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,675</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Wimar Opco LLC/Wimar Opco Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.625%,
 12/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>225,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,385,472</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Health
 Care&#151;3.7%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>165</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Accellent, Inc., 10.50%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>155,512</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Angiotech Pharmaceuticals, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.371%,
 12/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>178,200</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Community Health Systems, Inc., 8.875%, 7/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>141,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Cooper Cos., Inc. (The), 7.125%, 2/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>99,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>135</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Norcross Safety Products LLC/Norcross Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.875%,
 8/15/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140,063</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>PTS Acquisition Corp., 9.50%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>144,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 face=arial>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 face=arial>See Notes to Financial
Statements.</FONT></P>





<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>18</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>


<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="70%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="30%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as
of October 31, 2007&nbsp;&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM nowrap>
<P ><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock High Yield Trust (BHY) (continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based
on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

















<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="3" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Health
 Care&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Tenet Healthcare Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>615</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.50%,
 6/01/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>521,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.875%,
 7/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>230</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>United Surgical Partners Intl., Inc., 8.875%, 5/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>234,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Universal Hospital Services, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.50%,
 6/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.759%,
 6/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>115</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Viant Holdings, Inc., 10.125%, 7/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>108,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,869,687</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="3" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Industrials&#151;3.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>AGY Holding Corp., 11.00%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>197,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Blaze Recycling &amp; Metals LLC/Blaze Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.875%,
 7/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Harland Clarke Holdings Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.50%, 5/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.308%,
 5/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Hexcel Corp., 6.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>78,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Leucadia National Corp., 8.125%, 9/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>201,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Park-Ohio Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>79,263</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>RBS Global, Inc./Rexnord Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.875%,
 9/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>86,062</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.50%,
 8/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>351,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.75%,
 8/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>296,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>510</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Sunstate Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>489,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Terex Corp., 7.375%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,965,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="2" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Media&#151;12.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Affinion Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>215</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.125%,
 10/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>224,137</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.50%,
 10/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>182,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>American Media Operations, Inc., Ser. B, 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33,513</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Bonten Media Acquisition Co., 9.00%, 6/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>73,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>290</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>CMP Susquehanna Corp., 9.875%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>266,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>CSC Holdings, Inc., Ser. B, 7.625%, 4/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,888</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Cablevision Systems Corp., Ser. B, 9.644%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>179,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>58,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Charter Communications Holdings I LLC/Charter</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>Communications Holdings I Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.00%,
 10/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>261,575</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Charter Communications Holdings II LLC/Charter</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>Communications Holdings II Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>810</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>826,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. B,
 10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>76,313</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Dex Media West LLC/Dex Media Finance Co., Ser. B,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.875%,
 8/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,313</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>DirecTV Holdings LLC/DirecTV Financing Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.375%,
 3/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>EchoStar DBS Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.00%,
 10/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>208,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>260</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.125%,
 2/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>271,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>ION Media Networks, Inc., 8.493%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125,313</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Idearc, Inc., 8.00%, 11/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>320,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>290</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Network Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>291,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>325</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Nexstar Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>312,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Nielsen Finance LLC/Nielsen Finance Co.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>170</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.115%,
 8/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>122,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>445</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 8/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>468,362</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Quebecor Media, Inc., 7.75%, 3/15/16 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33,775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>RH Donnelley Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.875%,
 10/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>275</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. A-3,
 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>275,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>590</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>TL Acquisitions, Inc., 10.50%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>587,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Univision Communications, Inc., 9.75%, 3/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>176,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>280</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Vertis, Inc., 9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>280,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Young Broadcasting, Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>164,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,149,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Real
 Estate&#151;1.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Realogy Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>240</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.50%,
 4/15/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>199,500</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>380</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.00%,
 4/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>309,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>265</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>12.375%,
 4/15/15</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>193,450</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Real Estate</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>702,650</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Technology&#151;6.3%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Amkor Technology, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.75%,
 5/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>38,700</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>235</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.25%,
 6/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>240,288</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Belden, Inc., 7.00%, 3/15/17</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60,900</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Celestica, Inc., 7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>336,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Coleman Cable, Inc., 9.875%, 10/01/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>177,300</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>430</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>First Data Corp., 9.875%, 9/24/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>411,725</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>530</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Freescale Semiconductor, Inc., 9.125%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>479,650</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>NXP BV/NXP Funding LLC (Netherlands)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.993%,
 10/15/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>118,438</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.50%,
 10/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>141,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Sanmina-SCI Corp., 8.125%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>166,725</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Spansion, Inc., 8.746%, 6/01/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180,025</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>SunGard Data Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.125%,
 8/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>86,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>465</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.25%,
 8/15/15</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>484,762</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>305</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Superior Essex Communications LLC/Essex Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.00%,
 4/15/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>301,187</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Technology</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,224,150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Telecommunications&#151;16.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Asia Global Crossing Ltd., 13.375%, 10/15/10 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Centennial Communications Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>455</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.125%,
 2/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>464,100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>220</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.981%,
 1/01/13</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>226,600</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>405</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Cincinnati Bell, Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>406,012</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cricket Communications, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>115</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.375%,
 11/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>114,138</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>230</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.375%,
 11/01/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>228,275</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Digicel Group Ltd. (Bermuda)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.875%,
 1/15/15</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>121,394</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>394</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.125%,
 1/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>368,276</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>260</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Dobson Cellular Systems, Inc., 8.375%, 11/01/11</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>275,600</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Hawaiian Telcom Communications, Inc., Ser. B,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.318%,
 5/01/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>101,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>iPCS, Inc., 7.036%, 5/01/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87,750</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Intelsat Corp., 9.00%, 6/15/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>327,200</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Intelsat Intermediate Holding Co. Ltd.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.25%,
 2/01/15 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32,900</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Intelsat Ltd. (Bermuda)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>295</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.886%,
 1/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>299,425</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.25%,
 6/15/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>155,625</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.25%,
 6/15/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.409%,
 6/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>333,600</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>245</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Intelsat Subsidiary Holding Co. Ltd.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.625%,
 1/15/15 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>248,675</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>565</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>MetroPCS Wireless, Inc., 9.25%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>560,763</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>445</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Nordic Telephone Co. Holdings A.p.S.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.875%,
 5/01/16 (Denmark)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>470,587</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>245</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Nortel Networks Ltd., 9.493%, 7/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>241,938</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>PanAmSat Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.875%,
 1/15/28</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>177,450</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.00%,
 8/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>275,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>394</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>ProtoStar I Ltd., 12.50%, 10/15/12 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>413,758</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Qwest Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.875%,
 9/01/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>633,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:3PX ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>230</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE=MARGIN-TOP:-3PX><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.944%,
 6/15/13</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>245,237</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>West Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.50%,
 10/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>128,438</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>475</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.00%,
 10/15/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>497,562</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 face=arial>See Notes to Financial
Statements.</FONT></P>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>19</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</TABLE>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="55%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="45%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL><BR>Portfolio of Investments </FONt><FONT SIZE=2  COLOR="#005695"   FACE=ARIAL>as of October 31,
  2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><BR><B>BlackRock High Yield Trust (BHY)
  (concluded)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wind Acquisition Finance S.A., 10.75%,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>&nbsp;</TD>
<TD VALIGN=BOTTOM>&nbsp;</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>12/01/15 (Luxembourg)</FONT></P>
</TD>
<TD>&nbsp;</TD>
<TD VALIGN=top>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=top>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>417,187</FONT></P>
</TD>
<TD>&nbsp;</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Windstream Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.125%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>211,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.625%, 8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>128,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8,447,290</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Transportation&#151;2.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>95</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>American Airlines, Inc., Ser. 99-1, 7.324%,
4/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>93,813</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Britannia Bulk Plc, 11.00%, 12/01/11 (United
Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>63,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>164,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Navios Maritime Holdings, Inc., 9.50%, 12/15/14 <BR>
  (Marshall Islands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>338,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Overseas Shipholding Group, Inc., 7.50%,
2/15/24</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>342,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>St. Acquisition Corp., 12.50%, 5/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>127,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Transportation</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,129,313</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>55,956,608</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Bank Loans&#151;5.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Affinion Group, Inc., LIBOR + 6.25%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>315,792</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Rexnord Holdings, Inc., LIBOR + 6.25%, 3/02/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>46,814</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Riverdeep Interactive Learning USA, Inc.,<BR>
  LIBOR + 7.20%, 12/19/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>49,337</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>252</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Rotech Healthcare, LIBOR + 6.00%, 9/26/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>244,105</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>430</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ServiceMaster Co. (The), LIBOR + 4.50%, 6/19/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>397,212</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Spectrum Brands, Inc., LIBOR + 4.00% , 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>83,741</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Texas Competitive Electric Holdings Co. LLC,<BR>
  LIBOR + 3.50%, 10/10/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>749,785</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>394</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Travelport Holdco, LIBOR + 7.00%, 3/22/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>379,314</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Verso Paper Finance Holdings LLC,<BR>
  LIBOR + 6.25%, 2/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>389,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Bank Loans</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,655,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN=8>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>

</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1   FACE=ARIAL><B><BR>Shares</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Common Stocks&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,737</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Critical Care Systems Intl., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>29,606</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14,992</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Mattress Discounters Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>68,358</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Neon Communications Group, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>352,044</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Common Stocks</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>381,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Preferred
Stock&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>40,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Superior Essex Holding Corp., Ser. A, 9.50%</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>24,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="11%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD WIDTH="4%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="66%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P></TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN=8>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER></TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN="RIGHT"><FONT SIZE=1   FACE=ARIAL><B>Units<BR>
  (000)</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="3" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Warrants&#151;0.0%</B></FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>54</FONT></P></TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,2,7</SUP></FONT></P></TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Neon Communications, Inc., expires 12/02/12</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P></TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,2,6,7</SUP></FONT></P></TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>PF. Net Communications, Inc., expires 5/15/10,<BR>
</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR BGCOLOR="#E6E6E6">
  <TD VALIGN=TOP>&nbsp;</TD>
  <TD VALIGN=TOP>&nbsp;</TD>
  <TD VALIGN=TOP>&nbsp;</TD>
  <TD VALIGN=TOP><FONT   SIZE=1 FACE=ARIAL>strike price $0.01, 36.87243 shares
    for 1 warrant</FONT></TD>
  <TD VALIGN=TOP>&nbsp;</TD>
  <TD VALIGN=BOTTOM>&nbsp;</TD>
  <TD VALIGN=top><div align="right"><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></div></TD>
  <TD VALIGN=TOP>&nbsp;</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Warrants</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Total Long-Term Investments</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>(cost $62,270,501)</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>59,018,159</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P></TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>SHORT-TERM INVESTMENT&#151;1.2%</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>U.S. Government and Agency Discount
  Notes&#151;1.2%</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P></TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>8</SUP></FONT></P></TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Federal Home Loan Bank Disc.
  Notes,<BR>
</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">&nbsp;</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">&nbsp;</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>4.401%,
    11/01/07 (cost $600,000)</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600,000</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Total
  Investments&#151;117.4% (cost $62,870,501<SUP>9</SUP>)</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>59,618,159</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Liabilities in
  excess of other assets&#151;(17.4)%</B></FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(8,835,903</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1   FACE=ARIAL>)</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Net Assets&#151;100%</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>$</B></FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>50,782,256</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
</table>


<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Security is fair valued.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Security is not registered under
  the Securities Act of 1933. These securities may be resold in transactions in
  accordance with Rule 144A under that Act, to qualified institutional buyers.
  As of October 31, 2007, the Trust held 30.1% of its net assets, with a
  current market value of $15,307,398, in securities restricted as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Variable rate security. Rate
  shown is interest rate as of October 31, 2007.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Represents a step up bond; the
  interest rate shown reflects the effective yield at the time of purchase.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Issuer is in default and/or
  bankruptcy.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Non-income producing security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Illiquid security. As of October
  31, 2007, the Trust held less than 0.1% of its net assets, with a current
  market value of $1, in these securities.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Rate shown is the yield to
  maturity as of the date of purchase.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Cost for federal income tax
  purposes is $62,884,976. The net unrealized depreciation on a tax basis is
  $3,266,817, consisting of $1,051,387 gross unrealized appreciation and
  $4,318,204 gross unrealized depreciation.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>For Trust
compliance purposes, the Trust&#146;s sector and industry classifications refer to
any one or more of the Standard Industry Codes as defined by the SEC. This
definition may not apply for purposes of this report, which may combine sector
and industry sub-classifications for reporting ease.</FONT></P>

<P><FONT SIZE=1 FACE=ARIAL>See Notes
to Financial Statements.</FONT></P>



<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>20</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="55%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="45%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>

</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL><BR>Portfolio of Investments </FONT><FONT SIZE=2 COLOR="#005695" FACE=ARIAL>as of October 31,
2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><B><BR>BlackRock Income Opportunity Trust (BNA)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>LONG-TERM INVESTMENTS&#151;167.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Mortgage Pass-Through Securities&#151;60.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,047</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Citigroup Mortgage Loan Trust, Inc., Ser. 4, Class A,<BR>
  5.345%, 8/25/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,923,530</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>651</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.207%, 1/01/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>661,712</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,455</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.067%, 1/01/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,436,926</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TBA, 5.50%, 12/12/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,935,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>498</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.00%, 1/01/37-4/01/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>477,395</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,179</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.00%, 7/01/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12,661,887</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,497</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.50%, 12/01/13-5/18/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,465,940</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>335</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.50%, 12/01/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>331,440</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,848</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.50%, 1/01/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,769,130</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14,910</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.50%, 7/01/16-6/01/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14,806,796</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>747</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.00%, 3/01/16-1/01/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>760,348</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>897</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.00%, 6/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>903,619</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>89</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.00%, 2/01/24-8/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>92,148</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>115,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TBA, 5.50%, 12/01/99</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>114,000,598</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TBA, 6.00%, 11/13/37-12/12/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30,491,251</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TBA, 6.50%, 12/12/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,786,071</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>97</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Government National Mortgage Assoc.,<BR>
8.00%, 4/15/24-6/15/25</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>103,077</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,168</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>GSR Mortgage Loan Trust, Ser. AR4, Class 6A1,<BR>5.25%, 7/25/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,025,408</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>228,632,276</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Federal Housing
  Administration Securities&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General Motors Acceptance Corp. Projects,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 37, 7.43%, 5/01/22</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>191,819</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>77</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 44, 7.43%, 8/01/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>77,296</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Merrill Projects,</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 29, 7.43%, 10/01/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,662</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>49</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 42, 7.43%, 9/01/22</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>49,745</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,715</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reilly Project, Ser. B-11, 7.40%, 4/01/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,732,569</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,710</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Westmore Project, 7.25%, 4/01/21</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,726,757</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Federal Housing Administration Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,828,848</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Agency Multiple Class
  Mortgage Pass-Through Securities&#151;6.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 192, Class U, 1,009.033%,
2/15/22</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1057, Class J, 1,008.001%,
3/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>740</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,156</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 2806, Class VC, 6.00%,
12/15/19</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,208,113</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 2874, Class BC, 5.00%,
10/15/19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,832,895</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,390</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 2883, Class DR, 5.00%,
11/15/19</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,344,446</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,725</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 2968, Class EG, 6.00%,
10/15/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,749,053</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,182</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 3174, Class PZ, 5.00%,
1/15/36</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,420,018</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,858</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 5, Class PK, 5.00%,
12/25/34</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,850,583</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 33, Class PV, 1,078.42%,
10/25/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,533</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,571</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 118, Class FD, 5.273%,
12/25/33</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,559,544</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Government National Mortgage Assoc., Ser. 65,<BR>
  Class VA, 6.00%, 6/20/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,554,302</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Agency Multiple Class Mortgage <BR>
  Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>24,529,231</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Non-Agency Multiple
  Class Mortgage Pass-Through Securities&#151;7.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,700</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Countrywide Alternative Loan Trust, Ser. 64CB,<BR>
  Class 1A15, 5.50%, 12/25/35</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,598,490</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,025</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CW Capital Cobalt Ltd., Ser. C3, Class A4,<BR>
  5.82%, 5/15/46</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,108,306</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,369</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Donaldson, Lufkin &amp; Jenrette Commercial Mortgage
  Corp.,<BR>
  Class A 1B, 7.18%, 11/10/33</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,478,743</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,630</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>First Union-Lehman Brothers-Bank of America,<BR>
  Ser. C2, Class D, 6.778%, 11/18/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,786,483</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Non-Agency Multiple Class Mortgage
  Pass-Through Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,310</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>GE Capital Commercial Mortgage Corp., Ser. 1A,<BR>
  Class A3, 6.269%, 12/10/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,394,614</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,580</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General Motor Acceptance Corp. Commercial Mortgage <BR>
  Securities, Inc., Ser. C4, Class A2, 4.93%, 7/10/39</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,534,713</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,065</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>JPMorgan Chase Commercial Mortgage Securities Corp.,<BR>
  Ser. LDP9, Class A3, 5.336%, 5/15/47</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,039,030</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>LB-UBS Commercial Mortgage Trust, Ser. C6, Class A4,<BR>
  5.858%, 7/20/40</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,532,404</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,105</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan Stanley Capital I, Ser. T27, Class A4, 5.651%,<BR>
  6/11/42</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,110,211</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,077</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Residential Funding Securities Corp., Ser. RM2,<BR>
  Class AI5, 8.50%, 5/25/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,557,206</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,5,6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Summit Mortgage Trust, Ser. 1, Class B1,<BR>
  6.611%, 12/28/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,055</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,105</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wachovia Bank Commercial Mortgage Trust, Ser. C33,<BR>
  Class A4, 5.903%, 2/15/51</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,130,221</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wells Fargo Mortgage Backed Securities Trust,<BR>
  Ser. AR4, Class 2A4, 5.774%, 4/25/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>292,254</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Non-Agency Multiple Class Mortgage <BR>
  Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>28,564,730</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Inverse Floating Rate
  Mortgage Securities&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1043, Class H, 21.938%,
2/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,728</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1148, Class E, 592.552%,
10/15/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>254</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>401</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1611, Class JC, 10.00%,
8/15/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>415,923</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 7, Class S, 594.704%,
3/25/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,020</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 10, Class S, 575.455%,
5/25/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,122</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 12, Class S, 608.135%,
5/25/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,929</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 17, Class S, 580.114%,
6/25/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,623</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>970</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 23, Class PS, 9.565%,
4/25/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>997,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 46, Class S, 1,402.625%,
5/25/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,397</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 49, Class S, 527.80%,
12/25/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,620</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>54</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 87, Class S, 13.764%,
8/25/21</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>66,182</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Inverse Floating Rate Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,516,673</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Asset-Backed
  Securities&#151;11.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,171</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ameriquest Mortgage Securities, Inc., Ser. R11,<BR>
  Class A1, 5.175%, 11/25/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,130,435</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,025</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Capital Auto Receivables Asset Trust, Ser. 1, Class
A3,<BR>
  5.03%, 10/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,023,858</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Chase Issuance Trust,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. A17, Class A, 5.12%,
10/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,617,368</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. A3, 5.081%, 7/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,642,849</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Chase Manhattan Auto Owner Trust, Ser. B, Class
A4,<BR>4.88%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,101,824</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Citibank Credit Card Issuance Trust, Ser. A2, Class
A2,<BR>
  4.85%, 2/10/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,126,616</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>251</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Countrywide Asset-Backed Certificates, Ser. 16, Class <BR>
  4AV1, 4.973%, 1/25/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250,395</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,683</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>DaimlerChrysler Auto Trust, Ser. A, Class A3,<BR>5.00%, 5/08/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,682,987</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Discover Card Master Trust I, Ser. 1, Class A,<BR>
  5.101%, 9/16/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,573,534</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,829</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ford Credit Auto Owner Trust, Ser. A, Class A3,<BR>
  5.07%, 11/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,828,664</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Harley-Davidson Motorcycle Trust, Ser. 2, Class A2,<BR>
  4.07%, 2/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,532,184</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Maryland Trust, Ser. 1, Class A, 5.55%,
12/10/65</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,371,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>MBNA Credit Card Master Note Trust,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,075</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. A1, Class A, 4.90%,
7/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,080,667</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. A4, 5.081%, 9/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,039,664</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan Stanley ABS Capital I,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,483</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. HE5, Class A2A, 4.943%,
8/25/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,470,690</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,094</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. NC4, Class A2A, 4.903%,
6/25/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,088,057</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>See Notes
to Financial Statements.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>21</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="55%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="45%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments </FONT><FONT SIZE=2 COLOR="#005695"   FACE=ARIAL>as of October 31,
  2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><B>BlackRock Income Opportunity Trust (BNA)
  (continued)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Asset-Backed Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>65</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>New Century Home Equity Loan Trust, Ser. C,<BR>
  Class A2A, 4.953%, 1/25/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>64,997</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>520</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Structured Asset Investment Loan Trust, Ser. 1,<BR>
  Class A1, 4.953%, 1/25/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>518,334</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,517</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>USAA Auto Owner Trust, Ser. 1, Class A3, 5.01%,<BR>
  9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,517,258</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,275</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wachovia Auto Owner Trust, Ser. A, Class A4,<BR>
  5.38%, 3/20/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,300,691</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>43,962,947</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Interest Only
  Asset-Backed Securities&#151; 0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>24</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan Stanley Capital Trust I, Ser. HF1,
  Class X,<BR>2.25%, 6/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sterling Coofs Trust,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12,656</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1, 2.365%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>561,620</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,991</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 2, 2.081%, 3/30/30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>295,381</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Interest Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>857,002</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Interest Only
  Mortgage-Backed Securities&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 176, Class M, 1,010.00%,
7/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 200, Class R, 93,522.906%,
12/15/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>139</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1054, Class I, 435.32%,
3/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>84</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1056, Class KD, 1,084.50%,
3/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>557</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1179, Class O, 1,009.389%,
11/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>38</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1254, Class Z, 8.50%,
4/15/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>214</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 1831, Class PG, 6.50%,
3/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14,123</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,772</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 2611, Class QI, 5.50%,
9/15/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,047,320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>78</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 5, Class H, 9.00%,
1/25/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,839</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 7, Class 2, 8.50%,
4/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>994</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 38, Class N, 1,008.50%,
4/25/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>204</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 46, Class H, 1,042.50%,
12/25/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15,158</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>337<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 50, Class SI, 1.20%,
4/25/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 89, Class 2, 8.00%,
6/01/18</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,821</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>23,975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1   FACE=ARIAL><SUP>1</SUP></FONT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 90, Class JH, 1.828%,
11/25/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,341,116</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 94, Class 2, 9.50%,
8/01/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>768</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 99, Class L, 930.00%,
8/25/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 123, Class M, 1,009.50%,
10/25/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>530</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1   FACE=ARIAL><SUP>1</SUP></FONT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 136, Class S, 15.214%,
11/25/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15,118</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 139, Class PT, 648.35%,
10/25/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,532</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,383</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 378, Class 19, 5.00%,
6/01/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,146,190</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,941</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Goldman Sachs Mortgage Securities Corp.,<BR>
  Ser. 5, 0.97%, 2/19/25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>77,590</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,176</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1   FACE=ARIAL><SUP>1</SUP></FONT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Salomon Brothers Mortgage Securities VII,<BR>
  Ser. 1, 0.492%, 3/25/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>116</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,696,576</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Principal Only
  Mortgage-Backed Securities&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>82</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp., Ser. 1739,<BR>
  Class B, 7.50%, 2/15/24</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>76,238</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>67</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 51, Class E, 8.00%,
2/25/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>57,780</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1   FACE=ARIAL><SUP>7</SUP></FONT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 70, Class A, 7.00%,
5/25/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,646</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 167, Class D, 8.50%,
10/25/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20,996</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 203, Class 1, 8.00%,
2/01/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,792</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 228, Class 1, 7.00%,
5/01/23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11,294</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Principal Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>192,746</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Commercial
  Mortgage-Backed Securities&#151;5.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bear Stearns Commercial Mortgage Services,<BR>
  Ser. PWR7, Class A2, 4.945%, 2/11/41</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,287,635</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,970</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit Suisse First Boston Mortgage Securities Corp.,<BR>
  Ser. CP5, Class A2, 4.94%, 12/15/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,912,454</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit Suisse Mortgage Capital Certificates,<BR>
  Ser. C2, Class A3, 5.542%, 1/15/49</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,374,889</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Commercial Mortgage-Backed
  Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,067</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>First Union National Bank Commercial Mortgage Trust,<BR>
  Ser. C2, Class A2, 7.202%, 10/15/32 </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,165,673</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General Motors Acceptance Corp. Commercial Mortgage <BR>
  Securities, Inc., Ser. C3, Class A4, 4.547%, 12/10/41</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,412,505</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>JPMorgan Chase Commercial Mortgage Securities
Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,990</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. C1, Class A3, 5.857%,
10/12/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,032,092</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,380</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. CBX, Class A4, 4.529%,
1/12/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,327,152</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,530</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman Brothers-UBS Commercial Mortgage Trust,<BR>
  Ser. C4, Class A3, 4.972%, 6/15/29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,538,263</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Commercial Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19,050,663</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Collateralized
  Mortgage Obligation Residual Securities&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Collateralized Mortgage Obligation Trust,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 40, Class R, 580.50%,
4/01/18</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>156</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 42, Class R, 6,000.00%,
10/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,602</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 19, Class R, 9,427.22%,
3/15/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,373</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 75, Class R, 9.50%,
1/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 75, Class RS, 12.479%,
1/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 173, Class R, 9.00%,
11/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 173, Class RS, 9.029%,
11/15/21</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>6,8</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Painewebber CMO Trust, Ser. 88 M, Class 6,<BR>
  13.80%, 9/01/18</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Collateralized Mortgage Obligation Residual
  Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,156</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Corporate
Bonds&#151;64.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Aerospace &amp;
  Defense&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bombardier, Inc., 8.00%, 11/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>176,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,363</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>DI Finance/DynCorp Intl., Ser. B, 9.50%,
2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,448,187</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>DRS Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.875%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.625%, 2/01/18</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>81,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sequa Corp., 9.00%, 8/01/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,088</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TransDigm, Inc., 7.75%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>142,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>United Technologies Corp., 4.875%, 5/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,209,314</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,154,639</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Automotive&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>305</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Accuride Corp., 8.50%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>286,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AutoNation, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.00%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>164,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>160</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1   FACE=ARIAL><SUP>1</SUP></FONT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.243%, 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>156,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>410</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lear Corp., Ser. B, 8.75%, 12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>393,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>295</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Metaldyne Corp., 10.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>274,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Automotive</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,275,525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Basic
Materials&#151;3.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>485</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Abitibi-Consolidated, Inc., 6.00%, 6/20/13
(Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>356,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,115</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AK Steel Corp., 7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,137,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>280</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>American Pacific Corp., 9.00%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>287,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bowater, Inc., 8.694%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>82,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>28,650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CPG Intl. I, Inc., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>230,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Domtar, Inc., 7.125%, 8/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>79,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>171</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Equistar Chemicals LP/Equistar Funding Corp.,<BR>
  10.625%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>178,695</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Freeport-McMoRan Copper &amp; Gold, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,275</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.375%, 4/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,396,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.394%, 4/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>371,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Huntsman LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>72</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>12.00%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>78,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.625%, 10/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>243,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ineos Group Holdings Plc, 8.50%, 2/15/16 <BR>
  (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,425,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Innophos, Inc., 8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>982,312</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>565</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Key Plastics LLC/Key Plastics Finance Corp.,<BR>
  11.75%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>480,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>See Notes
to Financial Statements.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT ><FONT  SIZE=1 FACE=ARIAL>22</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="48%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="52%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL><BR>Portfolio of Investments </FONT><FONT SIZE=2 COLOR="#005695" FACE=ARIAL>as of October 31,
2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><B><BR>BlackRock Income Opportunity Trust (BNA)
  (continued)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Basic Materials&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lyondell Chemical Co., 10.50%, 6/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140,075</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>NewPage Corp., 10.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>608,063</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Noranda, Inc., (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.00%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>604,152</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.20%, 6/15/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,489,026</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,570</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Teck Cominco Ltd., 6.125%, 10/01/35 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,487,178</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Terra Capital, Inc., Ser. B, 7.00%, 2/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>360,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12,045,651</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Building &amp;
  Development&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>495</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Goodman Global Holding Co., Inc., 7.875%,
12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>517,275</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>160</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Nortek, Inc., 8.50%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>141,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>North American Energy Partners, Inc.,<BR>
  8.75%, 12/01/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>744,725</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Commercial
  Services&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>FTI Consulting, Inc., 7.75%, 10/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>225</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Quebecor World, Inc., 9.75%, 1/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>219,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Commercial Services</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Consumer
  Products&#151;2.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>720</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ames True Temper, Inc., 9.243%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>691,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=top BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT;margin-top:3px'><FONT   SIZE=1 FACE=ARIAL>Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,<BR>
  8.058%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>29,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CVS Caremark Corp., 6.25%, 6/01/27</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>845,203</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>840</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federated Retail Holdings, Inc., 5.90%,
12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>801,941</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General Nutrition Centers, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.009%, 3/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>481,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.75%, 3/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>437,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Kimberly-Clark Corp., 6.625%, 8/01/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,073,433</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,670</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Kraft Foods, Inc., 7.00%, 8/11/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,813,260</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>362</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lazy Days RV Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>325,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Michaels Stores, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>530</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.00%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>533,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>670</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.375%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>668,325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Quiksilver, Inc., 6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>233,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reynolds American, Inc., 7.625%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>270,479</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>860</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Rite Aid Corp., 7.50%, 3/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>799,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sally Holdings LLC, 10.50%, 11/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>189,050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,194,091</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Containers &amp;
  Packaging&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Berry Plastics Holding Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>290</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.875%, 9/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>297,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.569%, 9/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>190,475</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Crown Americas LLC/Crown Americas Capital Corp.,<BR>
  7.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>154,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>330</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Impress Holdings BV, 8.368%, 9/15/13
(Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>328,269</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,626</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Owens-Brockway Glass Container, Inc., 8.875%,
2/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,638,195</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>535</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Pregis Corp., 12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>583,150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,191,839</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Ecological Services
  &amp; Equipment&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Casella Waste Systems, Inc., 9.75%, 2/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,295,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Waste Services, Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,895,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;9.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Anadarko Petroleum Corp., 6.45%, 9/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,655,783</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>160</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Berry Petroleum Co., 8.25%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>163,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Burlington Resources Finance Co., 7.40%,<BR>
  12/01/31 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,119,546</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Canadian Natural Resources Ltd., 6.25%,<BR>3/15/38 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>494,053</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>380</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Chaparral Energy, Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>354,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal <BR>
  Amount <BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Chesapeake Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.375%, 6/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>169,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.875%, 11/15/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cleveland Electric Illuminating Co., 5.95%,
12/15/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,205,706</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CMS Energy Corp., 6.55%, 7/17/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>533,873</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Compagnie Generale de Geophysique-Veritas
(France)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.50%, 5/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>61,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.75%, 5/15/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>103,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Compton Petroleum Finance Corp., 7.625%,<BR>
  12/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>215,438</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Conoco Funding Co., 7.25%, 10/15/31 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>174,928</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,970</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1,2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ConocoPhillips Australia Funding Co., 5.343%,
4/09/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,964,845</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ConocoPhillips Funding Co., 5.95%, 10/15/36
(Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>153,771</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ConocoPhillips Holding Co., 6.95%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>797,096</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Devon Energy Corp., 7.95%, 4/15/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>152,890</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>DTE Energy Co., 6.35%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>465,924</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Edison Mission Energy, 7.50%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>131,788</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>EDP Finance BV, 6.00%, 2/02/18 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,247,215</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>El Paso Natural Gas Co., 8.875%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>174,855</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>182</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Elwood Energy LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>186,611</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>EnCana Corp. (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.50%, 8/15/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>444,473</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>775</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.625%, 8/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>818,530</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Encore Acquisition Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.00%, 7/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>45,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.25%, 12/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>57,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Energy East Corp., 6.75%, 7/15/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,727,154</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>435</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Exco Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>429,562</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>480</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>FirstEnergy Corp., Ser. B, 6.45%, 11/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>495,357</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Florida Power &amp; Light Co., 4.95%, 6/01/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>499,059</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Florida Power Corp., 6.35%, 9/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>708,736</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>90,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>255</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>KCS Energy, Inc., 7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>251,175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Midamerican Energy Co., 5.80%, 10/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>777,262</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Midamerican Energy Holdings Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.95%, 5/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>910,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,725</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.50%, 9/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,769,112</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>83</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Midwest Generation LLC, Ser. B, 8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>89,741</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Mirant Americas Generation LLC, 8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>176,969</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Nakilat, Inc., 6.067%, 12/31/33 (Qatar)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,043,130</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Nexen, Inc., 6.40%, 5/15/37 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>596,988</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>NRG Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.25%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>285</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.375%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>284,288</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ohio Edison Co., 6.875%, 7/15/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>366,549</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ONEOK Partners LP, 6.65%, 10/01/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>509,155</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>490</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>OPTI, Inc., 8.25%, 12/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>491,225</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Orion Power Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>154,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Pacificorp, 6.25%, 10/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>667,122</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Public Service Co. of Colorado, 6.25%, 9/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,400,680</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sabine Pass LNG LP, 7.50%, 11/30/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>343,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Scottish Power Plc, 5.375%, 3/15/15 (United
Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>172,442</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>SemGroup LP, 8.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>336,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Southern California Edison Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.625%, 2/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>644,392</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. 05-E, 5.35%, 7/15/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>136,746</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Suncor Energy, Inc., 6.50%, 6/15/38 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>418,711</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Targa Resources, Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>363,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trans-Canada Pipelines Ltd., 5.85%, 3/15/36
(Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>575,310</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Valero Energy Corp., 6.625%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,081,095</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Virginia Electric &amp; Power Co., Ser. A, 6.00%,
5/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,161,727</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P style=margin-top:3px ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Weatherford Int&#146;l., Inc., 6.80%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>655,387</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>415</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>407,938</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>XTO Energy, Inc., 6.75%, 8/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,279,462</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Energy</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>36,976,099</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>See Notes
to Financial Statements.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>23</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>

 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top rowspan=2>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT><FONT  size=2 COLOR="#005695" FACE=ARIAL> as
  of October 31, 2007</FONT></P>
 </TD>

 <TD VALIGN=BOTTOM nowrap>
<P><FONT FACE="ARIAL" SIZE="2" COLOR="#005695"><B>BlackRock Income
 Opportunity Trust (BNA) (continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>

<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages shown are based on Net
Assets)</B> </FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Entertainment &amp; Leisure&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AMC
 Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200,262</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Gaylord
 Entertainment Co., 6.75%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>242,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Greektown
 Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>323,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Harrah&#146;s
 Operating Co., Inc., 5.75%, 10/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>136,437</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Park Place
 Entertainment Corp., 8.875%, 9/15/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,027,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>290</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Seneca
 Gaming Corp., Ser. B, 7.25%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>292,175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wynn Las
 Vegas LLC/Wynn Las Vegas Capital Corp.,<BR>
 6.625%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24,563</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,246,812</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Financial Institutions&#151;20.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American
 Real Estate Partners LP/American Real<BR>
 Estate Finance Corp., 7.125%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>341,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bank of
 America Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%,
 9/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,905,373</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.80%,
 2/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,597,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bank of
 America NA, Ser. BKNT, 6.10%, 6/15/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,021,363</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bear
 Stearns Cos., Inc. (The), Ser. MTN, 6.95%, 8/10/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,456,969</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,525</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Berkshire
 Hathaway Finance Corp., 3.375%, 10/15/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,491,311</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>202</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BMS
 Holdings, Inc., 12.40%, 2/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>193,771</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,415</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Chubb
 Corp., 6.00%, 5/11/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,376,861</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Citigroup,
 Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,230</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.125%,
 2/22/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,142,628</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,155</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.875%,
 2/22/33-5/29/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,097,862</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.125%,
 8/25/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,170,559</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.875%,
 2/15/98</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>560,083</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Credit
 Suisse First Boston, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.125%,
 11/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>723,814</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.125%,
 7/15/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,127,028</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Depfa ACS
 Bank, 5.125%, 3/16/37 (Ireland)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,925,431</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ford Motor
 Credit Co. LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>380</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.80%,
 6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>357,038</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>220</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.993%,
 1/13/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>203,671</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Fort Irwin
 Land LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>780</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. A,
 Class II, 5.30%, 12/15/35</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>736,086</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. A-1,
 5.03%, 12/15/25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>542,420</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>General
 Electric Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.75%,
 3/15/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,347,964</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,610</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. GMTN,
 6.15%, 8/01/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,885,360</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Goldman
 Sachs Group, Inc. (The),</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,390</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.45%,
 11/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,422,151</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,020</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.25%,
 9/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,057,991</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.60%,
 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,047,663</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>1,020</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX' ><FONT  SIZE=1 FACE=ARIAL>Hartford
 Life Global Funding Trusts, Ser. MTN,<BR>
 5.864%, 9/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,018,899</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,275</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>HSBC
 Holdings Plc, 6.50%, 5/02/36 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,258,708</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>878</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>iPayment
 Investors LP, 11.625%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>904,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>iPayment,
 Inc., 9.75%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>259,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>JPMorgan
 Chase Capital XXV, Ser. Y, 6.80%, 10/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,370,174</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lehman
 Brothers Holdings, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.50%,
 7/19/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,057,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. MTN,
 6.00%, 7/19/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,520,782</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. MTN,
 7.394%, 9/15/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>587,536</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. MTNG,
 4.80%, 3/13/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94,845</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MetLife,
 Inc., 5.70%, 6/15/35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,112,330</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Momentive
 Performance Materials, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.75%,
 12/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>48,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>440</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.50%,
 12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>424,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>1,990</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,5</FONT></SUP></P>
</TD>
<TD VALIGN=top>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT;MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Monumental
 Global Funding Ltd., Ser. MTN,<BR>
 5.24%, 6/16/10 (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,972,090</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="99%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="65%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Financial Institutions&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Morgan Stanley,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,620</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.493%,
 1/09/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,561,707</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.25%,
 8/09/26</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,069,773</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. MTN,
 6.25%, 8/28/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,228,642</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Prudential Financial, Inc., Ser. MTN, 5.70%, 12/14/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>881,463</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Rainbow National Services LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.75%,
 9/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>234,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,070</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.375%,
 9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,177,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>SLM Corp., 5.384%, 1/27/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>530,617</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Travelers Cos., Inc., Ser. MTN, 6.25%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,035,953</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Universal City Florida Holding Co. I/II, 9.661%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Wells Fargo &amp; Co., 4.625%, 8/09/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>990,341</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Wells Fargo Bank NA,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>610</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.95%,
 8/26/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>601,139</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.55%,
 6/21/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,124,152</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wimar Opco
 LLC/Wimar Opco Finance Corp.,<BR>
 9.625%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>487,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Xstrata Finance Ltd., 5.80%, 11/15/16 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,859,526</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>79,195,199</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Health Care&#151;3.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,325</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,2,5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Amgen, Inc., 5.585%, 11/28/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,322,611</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>AstraZeneca Plc, 6.45%, 9/15/37 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,923,044</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,135</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Bristol-Myers Squibb Co., 5.875%, 11/15/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,114,049</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Eli Lilly &amp; Co., 5.55%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,382,421</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Johnson &amp; Johnson, 5.95%, 8/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,255,031</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Schering-Plough Corp., 6.55%, 9/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,295,480</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,640</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Tenet Healthcare Corp., 6.50%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,389,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,156,612</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>WellPoint, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>595</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.85%,
 1/15/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>559,086</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>475</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.375%,
 6/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>482,920</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,775</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Wyeth, 5.95%, 4/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,755,436</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Health Care</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,636,590</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Industrials&#151;1.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>3M Co., Ser. MTN, 5.70%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,704,694</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>AGY Holding Corp., 11.00%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>394,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Hexcel Corp., 6.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>147,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>915</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Honeywell Intl., Inc., 5.70%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>889,533</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>165</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Park-Ohio Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>153,862</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>RBS Global, Inc./Rexnord Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>540</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.50%,
 8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>557,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>555</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.75%,
 8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>588,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Sunstate Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,008,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>



<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Industrials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,443,314</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Media&#151;7.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Affinion Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>540</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.125%,
 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>562,950</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.50%,
 10/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>208,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>American Media Operations, Inc., Ser. B, 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>119,688</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>AOL Time Warner, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,635</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.57%,
 2/01/24</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,791,676</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.125%,
 1/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,448,833</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,415</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>AT&amp;T Broadband Corp., 8.375%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,596,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>161</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Cablevision Systems Corp., Ser. B, 9.644%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>165,427</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>117,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>485</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Charter
 Communications Holdings I LLC/Charter<BR>
 Communications Holdings I Capital Corp.,<BR>
 11.00%, 10/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>470,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Charter
 Communications Holdings II LLC/Charter<BR>
 Communications Holdings II Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.25%,
 9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1 FACE=ARIAL>1,346,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. B,
 10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>183,150</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>24</FONT></P>
 </TD>
 </TR>
</table>

<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>

 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top rowspan=2>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT><FONT  size=2 COLOR="#005695" FACE=ARIAL> as
  of October 31, 2007</FONT></P>
 </TD>

 <TD VALIGN=BOTTOM nowrap>
<P><FONT FACE="ARIAL" SIZE="2" COLOR="#005695"><B>BlackRock Income
 Opportunity Trust (BNA) (continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>

<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages shown are based on Net
Assets)</B> </FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>690</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CMP
 Susquehanna Corp., 9.875%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>633,937</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Comcast
 Cable Communications, Inc., 6.75%, 1/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,042,435</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,805</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Comcast
 Corp., 6.95%, 8/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,931,570</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dex Media
 West LLC/Dex Media Finance Co., Ser. B,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.875%,
 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>90,631</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>DirecTV
 Holdings LLC/DirecTV Financing Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.375%,
 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>146,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>EchoStar
 DBS Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.75%,
 10/01/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>179,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.00%,
 10/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>333,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.125%,
 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>78,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>665</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Idearc,
 Inc., 8.00%, 11/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>666,662</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ION Media
 Networks, Inc., 8.493%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>501,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>535</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Network
 Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>538,344</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>News
 America Holdings, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>145</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.15%,
 10/17/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>172,776</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.45%,
 8/01/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,992,265</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>660</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nexstar
 Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>633,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nielsen
 Finance LLC/Nielsen Finance Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>330</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.115%,
 8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>238,425</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,157,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>RH
 Donnelley Corp., Ser. A-3, 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>950,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sirius
 Satellite Radio, Inc., 9.625%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>69,563</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,495</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TCI
 Communications, Inc., 8.75%, 8/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,753,387</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Time Warner
 Cable, Inc., 6.55%, 5/01/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>806,473</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TL
 Acquisitions, Inc., 10.50%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,094,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Univision
 Communications, Inc., 9.75%, 3/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>318,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>570</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Vertis,
 Inc., 9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>570,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,294</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Young
 Broadcasting, Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,216,360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Media</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,126,627</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Real Estate&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AvalonBay
 Communities, Inc., 6.625%, 9/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,040,161</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Rouse Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>725</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>3.625%,
 3/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>691,205</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,715</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.375%,
 11/26/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,554,092</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Real
 Estate</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,285,458</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Technology&#151;2.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Amkor
 Technology, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.75%,
 5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87,075</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>135</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.25%,
 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>138,038</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>555</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Celestica,
 Inc., 7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>532,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Freescale
 Semiconductor, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>715</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.125%,
 12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>647,075</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>160</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.569%,
 12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>147,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Intl.
 Business Machines Corp., 5.70%, 9/14/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,501,702</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>480</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>NXP BV/NXP
 Funding LLC, 9.50%, 10/15/15 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>453,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>660</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sanmina-SCI
 Corp., 8.125%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>579,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>SunGard
 Data Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>95</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.125%,
 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>96,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.25%,
 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>703,687</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Superior
 Essex Communications LLC/Essex Group, Inc.,<BR>
 9.00%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>938,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Technology</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,825,152</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Telecommunications&#151;7.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,075</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AT&amp;T,
 Inc., 6.50%, 9/01/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,298,391</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>9</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BellSouth
 Telecommunications, 6.402%, 12/15/95</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>902,807</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>470</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cincinnati
 Bell, Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>471,175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>255</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cricket
 Communications, Inc., 9.375%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>253,088</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>325</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Deutsche
 Telekom Intl. Finance BV, 5.75%,<BR>
 3/23/16 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>325,854</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Digicel
 Group Ltd., 8.875%, 1/15/15 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>252,126</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=top>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT;MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Hawaiian
 Telcom Communications, Inc., Ser. B,<BR>
 10.318%, 5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>172,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>515</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Intelsat
 Corp., 9.00%, 6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>526,588</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Intelsat
 Ltd. (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.886%,
 1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>121,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.25%,
 6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>466,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.25%,
 6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>225,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>920</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.409%,
 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>959,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Intelsat
 Subsidiary Holding Co. Ltd.,<BR>
 8.625%, 1/15/15 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>304,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MetroPCS
 Wireless, Inc., 9.25%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>119,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>935</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nordic
 Telephone Co. Holdings A.p.S.,<BR>
 8.875%, 5/01/16 (Denmark)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>988,763</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,435</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nortel
 Networks Ltd., 9.493%, 7/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,417,062</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>160</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>PanAmSat
 Corp., 9.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>163,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Qwest
 Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.875%,
 9/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>58,025</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.944%,
 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>399,844</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sprint
 Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,205</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.875%,
 11/15/28</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,154,325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.75%, 3/15/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,425,325</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Telecom
 Italia Capital S.A., 4.95%, 9/30/14 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,187,492</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Telefonica
 Emisones SAU, 7.045%, 6/20/36 (Spain)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,098,404</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Verizon
 Global Funding Corp., 7.75%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>677,879</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Verizon
 Maryland, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>540</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.125%,
 6/15/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>450,386</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,355</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. A,
 6.125%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,396,925</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Verizon
 Virginia, Inc., 4.625%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>720,208</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Vodafone
 Group Plc (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,615</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.288%,
 12/28/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,615,326</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.75%,
 2/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,057,537</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,210</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>West Corp.,
 11.00%, 10/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,267,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wind
 Acquisition Finance S.A., 10.75%,<BR>
 12/01/15 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Windstream
 Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>410</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.125%,
 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>433,575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.625%,
 8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>267,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Telecommunications</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,579,030</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Transportation&#151;0.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American
 Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>118,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Britannia
 Bulk Plc, 11.00%, 12/01/11 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>126,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Canadian
 National Railway Co., 6.375%,<BR>
 10/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,044,565</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CHC
 Helicopter Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>435,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Navios
 Maritime Holdings, Inc., 9.50%,<BR>
 12/15/14 (Marshall Islands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>634,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>455</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>St.
 Acquisition Corp., 12.50%, 5/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>290,062</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Transportation</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,649,002</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>242,814,753</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>U.S. Government and Agency
Securities&#151;5.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Overseas
 Private Investment Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>357</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.09%,
 5/29/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>338,675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.30%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000,255</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>752</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.64%,
 5/29/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>761,852</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.68%,
 5/29/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>404,472</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,221</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.87%,
 5/29/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,295,838</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>384</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.40%,
 5/29/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>413,963</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,055</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Resolution
 Funding Corp., Ser. B, Zero Coupon, 4/15/30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,018,561</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>788</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Small
 Business Administration, Ser. 20K-1,<BR>
 6.95%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>812,396</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Tennessee
 Valley Authority, Ser. C, 5.88%, 4/01/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,989,677</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>510</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>U.S.
 Treasury Bonds, 4.75%, 2/15/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>509,721</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>846</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>U.S.
 Treasury Inflation Protected Bond, 2.375%, 1/15/27</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>867,527</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,115</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>U.S.
 Treasury Notes, 4.75%, 8/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,315,813</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total U.S.
 Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,728,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>

 <TD VALIGN=TOP>
 <P><FONT SIZE=1 FACE=ARIAL>25</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>

 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top rowspan=2>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT><FONT  size=2 COLOR="#005695" FACE=ARIAL> as
  of October 31, 2007</FONT></P>
 </TD>

 <TD VALIGN=BOTTOM nowrap>
<P><FONT FACE="ARIAL" SIZE="2" COLOR="#005695"><B>BlackRock Income
 Opportunity Trust (BNA) (continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>

<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages shown are based on Net
Assets)</B> </FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="65%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=Right><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Trust Preferred Stocks&#151;3.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Allstate
 Corp., 6.50%, 5/15/57</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,084,728</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bank of
 America, 5.30%, 3/15/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>579,691</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,5,10</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Barclays
 Bank Plc, 7.434% (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,007,039</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,5,10</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Credit
 Agricole S.A., 6.637% (France)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>950,372</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lincoln
 National Corp., 6.05%, 4/20/67</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>718,801</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>665</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Progressive
 Corp., 6.70%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>652,553</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>2,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,10</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Royal Bank
 of Scotland Group Plc, Ser. MTN,<BR>
 7.64% (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,694,931</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1 FACE=ARIAL>1,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1,2,5,10</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Societe Generale, 5.922% (France)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,070,652</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Travelers
 Cos., Inc., 6.25%, 3/15/67</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>728,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,2,10</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>UBS
 Preferred Funding Trust I, 8.622%</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,170,314</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ZFS Finance
 Trust I, 6.50%, 5/09/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>553,382</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Trust
 Preferred Stocks</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,210,763</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Taxable Municipal Bond&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,525</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Illinois
 St. Pension, 5.10%, 6/01/33</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,395,139</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

 <TR>
 <TD COLSPAN="8" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=Right><FONT SIZE=1  FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Common Stocks&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,895</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>6,11</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Critical Care Systems Intl., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,844</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>Preferred Stock&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Deutsche Bank Contingent Capital Trust II, 6.55%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,437,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Total Long-Term Investments<BR>
 (cost $639,074,109)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>636,433,097</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
 <TD COLSPAN="8" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>SHORT-TERM INVESTMENT&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>U.S. Government and Agency Discount
 Notes&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>12</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT; MARGIN-TOP:3PX'><FONT  SIZE=1 FACE=ARIAL>Federal
 Home Loan Bank Disc. Notes,<BR>
 4.401%, 11/01/07 (cost $300,000)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>BORROWED BOND AGREEMENTS&#151;22.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lehman
 Brothers Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,927</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>14</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.47%,
 11/08/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,927,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,457</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>14</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.45%,
 11/08/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,456,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Total Borrowed Bond Agreements<BR>
 (cost $85,383,875)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85,383,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
 <TD COLSPAN="8" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=right><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT;  TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>OUTSTANDING OPTIONS PURCHASED&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,285</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>EUR Put
 Option, strike price $1.40, expires 1/10/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,876</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest
 Rate Swaps,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.79%, Trust receives 3-month LIBOR,<BR>
 expires 8/16/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>225,776</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.79%,<BR>
 expires 8/16/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>433,872</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.52%, Trust receives 3-month LIBOR,<BR>
 expires 9/21/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>373,168</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.52%,<BR>
 expires 9/21/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>324,406</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.47%, Trust receives 3-month LIBOR,<BR>
 expires 5/08/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>575,025</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.47%, Trust receives 3-month LIBOR,<BR>
 expires 5/08/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>527,670</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 6.025%,<BR>
 expires 6/08/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>517,969</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="67%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P></TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=right><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1  FACE=ARIAL><B>Description</B></FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>OUTSTANDING OPTIONS PURCHASED&#151;(cont&#146;d)</B></FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,425</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.95PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 6.025%,<BR>
 expires 6/08/12</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>265,977</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,300</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.39%, Trust receives 3-month LIBOR,<BR>
 expires 3/19/12</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>357,114</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,300</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.39%,<BR>
 expires 3/19/12</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>296,161</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Total Outstanding Options Purchased<BR>
 (cost $3,589,612)</B></FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,915,014</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Total Investments before borrowed bonds,<BR>
 TBA sale commitments, and outstanding<BR>
 options written (cost $728,347,596<SUP>13</SUP>)</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>726,031,986</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
 <TD COLSPAN="8" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%> </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN="RIGHT"><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>BORROWED BONDS&#151;(22.5)%</B></FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>U.S. Treasury Notes,</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL> (50,800)</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.00%,
 8/31/09</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(50,835,712</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(34,500)</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.125%,
 8/31/12</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(34,464,948</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Total Borrowed Bonds <BR>
 (proceeds $85,264,516)</B></FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(85,300,660</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>TBA SALE COMMITMENTS&#151;(3.5)%</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(400)</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.00%,
 12/12/37</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(383,625</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(8,600)</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%,
 11/19/22</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(8,613,433</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,200)</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%,
 11/13/37-12/12/37</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,228,314</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Total TBA Sale Commitments<BR>
 (proceeds $13,086,862)</B></FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(13,225,372</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>INVESTMENTS SOLD SHORT&#151;(22.5)%</B></FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>U.S. Treasury Notes,</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(50,800)</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.00%,
 8/31/09</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(50,835,712</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(34,500)</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.125%,
 8/31/12</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(34,464,948</FONT></P></TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P></TD>
<TD VALIGN=TOP>
<P>&nbsp;</P></TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR bgcolor="#FFFFFF">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Total Investments Sold Short<BR>
 (proceeds $85,264,516)</B></FONT></P></TD>

<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(85,300,660</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P></TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P></TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P></TD>
</TR>
<TR>
 <TD COLSPAN="8" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%> </TD>
 </TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL COLOR="#005695"><B>OUTSTANDING OPTIONS WRITTEN&#151;(0.5)%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Interest Rate Swaps,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,700)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.135%, Trust receives 3-month LIBOR,<BR>
 expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(97,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,700)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.135%,<BR>
 expires 4/21/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(97,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(12,400)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.67%,<BR>
 expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(315,828</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(12,400)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.67%, Trust receives 3-month LIBOR,<BR>
 expires 1/04/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(599,912</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,300)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.485%, Trust receives 3-month LIBOR,<BR>
 expires 10/28/19</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(208,227</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,300)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.485%,<BR>
 expires 10/28/19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(155,709</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(7,300)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 3-month LIBOR, Trust receives 5.148%,<BR>
 expires 3/19/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(119,063</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(7,300)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays
 5.115%, Trust receives 3-month LIBOR,<BR>
 expires 3/19/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(118,698</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Total Outstanding Options Written<BR>
 (premium received $2,478,560)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,712,207</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Total Investments net of borrowed bonds, TBA sale
commitments<BR>
 and outstanding options written&#151;164.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>625,793,747</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Liabilities in excess of other
 assets&#151;(64.8)%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(246,188,870</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=LEFT><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Net Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>$</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>379,604,877</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>26</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>

 <TD WIDTH="50%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7394C1 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="2" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top rowspan=2>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT><FONT  size=2 COLOR="#005695" FACE=ARIAL> as
  of October 31, 2007</FONT></P>
 </TD>

 <TD VALIGN=BOTTOM nowrap>
<P><FONT FACE="ARIAL" SIZE="2" COLOR="#005695"><B>BlackRock Income
 Opportunity Trust (BNA) (concluded)</B> </FONT></P>
 </TD>
 </TR>
<TR>

<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages shown are based on Net
Assets)</B> </FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Variable rate security. Rate shown is interest rate as of
 October 31, 2007.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Entire or partial principal amount pledged as collateral
 for reverse repurchase agreements. See Note 4 in the Notes to Financial
 Statements for details of open reverse repurchase agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>3</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Security, or a portion thereof, pledged as collateral with
 a value of $2,950,914 on 147 long Eurodollar futures contracts expiring
 December 2007 to March 2008, 337 long U.S. Treasury Note futures contracts
 expiring December 2007, 1,339 long U.S. Treasury Bond futures contracts
 expiring December 2007, 180 short Eurodollar futures contracts expiring
 December 2007 and 3,750 short U.S. Treasury Note futures contracts expiring
 December 2007. The notional value of such contracts on October 31, 2007 was
 $246,676,023, with an unrealized loss of $650,550.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>4</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Represents an investment in an affiliate.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>5</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2PX"><FONT SIZE=1 FACE=ARIAL>Security is not registered under the Securities Act of
 1933. These securities may be resold in transactions in accordance with Rule
 144A under that Act, to qualified institutional buyers. As of October 31,
 2007, the Trust held 9.0% of its net assets, with a current market value of
 $34,233,806, in securities restricted as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>6</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Security is fair valued.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>7</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Rate shown is effective yield of the underlying collateral
 as of October 31, 2007.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>8</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Illiquid security. As of October 31, 2007, the Trust held
 less than 0.1% of its net assets, with a current market value of $0, in this
 security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>9</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Represents a step up bond; the interest rate shown
 reflects the effective yield at the time of purchase.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><SUP><FONT SIZE=1 FACE=ARIAL>10</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>The security is a perpetual bond and has no stated
 maturity date.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><SUP><FONT SIZE=1 FACE=ARIAL>11</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Non-income producing security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><SUP><FONT SIZE=1 FACE=ARIAL>12</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Rate shown is the yield to maturity as of the date of
 purchase.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><SUP><FONT SIZE=1 FACE=ARIAL>13</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Cost for federal income tax purposes is $729,365,583. The
 net unrealized depreciation on a tax basis is $3,333,597, consisting of
 $7,722,546 gross unrealized appreciation and $11,056,143 gross unrealized
 depreciation.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2PX"><FONT FACE="ARIAL" SIZE="1"><SUP>14</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>See Note 1 in the Notes to Financial Statements for
 details of borrowed bond agreements.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>For Trust compliance purposes, the
Trust&#146;s sector and industry classifications refer to any one or more of the
Standard Industry Codes as defined by the SEC. This definition may not apply
for purposes of this report, which may combine sector and industry
sub-classifications for reporting ease.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>

 <TD VALIGN=TOP>
 <P><FONT SIZE=1 FACE=ARIAL>27</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN="CENTER"><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="57%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="33%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments<FONT COLOR="#005695" SIZE=2 FACE=ARIAL> as of October 31,
2007</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP nowrap>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><B>BlackRock Income Trust Inc. (BKT)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="65%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal
 <BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>LONG-TERM INVESTMENTS&#151;104.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Mortgage Pass-Through Securities&#151;31.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.019%, 1/01/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>773,674</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>802</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.934%, 10/01/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>806,789</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%, 12/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>92,516</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>609</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%, 1/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>609,749</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,423</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2,3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%, 3/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,436,410</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.01%, 11/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.00%, 11/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.50%, 3/01/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>124</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.00%, 9/01/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>132,699</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 6.50%, 12/12/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>102,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,248</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.00%, 6/01/33-3/01/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,045,633</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>732</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.00%, 1/01/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>702,248</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,873</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%, 6/01/21-6/01/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,632,581</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.97%, 8/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,184,788</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,939</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%, 10/01/36-7/01/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,108,362</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.50%, 7/01/36-9/01/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,943,071</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.50%, 2/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>241</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.00%, 5/01/08-5/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32,874</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.50%, 1/01/19-9/01/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 5.50%, 11/13/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>98,531</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 6.00%, 11/13/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,712,220</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 6.50%, 11/13/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,251,564</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Government National Mortgage
 Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.00%, 10/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>38,792</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>412</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.50%, 8/15/21-12/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>434,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.00%, 10/15/22-2/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>223,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.00%, 6/15/18-9/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Mortgage Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130,426,764</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Federal Housing Administration Securities&#151;1.8%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>General Motors Acceptance Corp.
 Projects,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>288</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 51, 7.43%, 2/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>290,577</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>358</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 56, 7.43%, 11/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>361,639</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Merrill Projects, Ser. 54, 7.43%,
 5/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,019</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>758</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Reilly Project, Ser. 41, 8.28%,
 3/01/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>765,282</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>USGI Projects,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>88</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 87, 7.43%, 12/01/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>88,790</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>329</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 99,7.43%, 10/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>332,589</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,431</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 6094, 7.43%, 6/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,485,577</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Federal Housing
 Administration Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,374,473</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Agency Multiple Class Mortgage Pass-Through
 Securities&#151;26.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,076</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 11, Class A9, 2.282%,
1/25/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,595,985</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 19, Class F, 8.50%,
3/15/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>194,531</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>746</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 40, Class K, 6.50%,
8/17/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>768,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 192, Class U, 1,009.033%,
2/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1057, Class J, 1,008.001%,
3/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,589</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,647</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1598, Class J, 6.50%,
10/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,643,738</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>341</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1961, Class H, 6.50%,
5/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>345,289</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,504</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2218, Class Z, 8.50%,
3/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,279,474</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,018</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2461, Class Z, 6.50%,
6/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,445,486</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2542, Class UC, 6.00%,
12/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,599,985</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2562, Class PG, 5.00%,
1/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,444,405</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>928</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2564, Class NC, 5.00%,
2/15/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>795,889</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,050</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2750, Class TC, 5.25%,
2/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,015,608</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,458</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2758, Class KV, 5.50%,
5/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,448,878</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,573</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2765, Class UA, 4.00%,
3/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,529,913</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2806, Class VC, 6.00%,
12/15/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,265,494</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,402</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2927, Class BZ, 5.50%,
2/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,245,710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,946</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 3061, Class BD, 7.50%,
11/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,063,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Agency Multiple Class Mortgage Pass-Through
 Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,221</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2, Class KP, Zero Coupon,
2/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,153,297</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 28, Class PB, 6.00%,
8/25/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,028,409</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 29, Class HC, 7.50%,
7/25/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,288,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,381</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 31, Class ZG, 7.50%,
5/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,841,336</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,147</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 32, Class VT, 6.00%,
9/25/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,258,242</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 33, Class PV, 1,078.42%,
10/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,464</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 38, Class F, 8.325%,
4/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,981</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,663</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 38, Class Z, 5.00%,
5/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,655,826</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,630</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 68, Class PC, 5.50%,
7/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,657,932</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 135, Class PB, 6.00%,
1/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,319,211</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Government National Mortgage
 Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,041</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 5, Class Z, 7.00%, 5/16/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,089,576</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,749</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 33, Class PB, 6.50%,
7/20/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,793,424</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,030</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 89, Class PE, 6.00%,
10/20/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,118,536</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Agency Multiple Class
 Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>109,961,290</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Non-Agency Multiple Class Mortgage
 Pass-Through Securities&#151;9.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,932</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>CWALT, Inc., Ser. 28CB, Class
 1A5, 5.50%, 8/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,926,543</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>JPMorgan Mortgage Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,868</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. A7, Class 2A2, 5.83%,
1/25/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,865,043</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,457</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. S1, Class 2A1, 8.00%,
1/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,827,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,561</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MASTR Alternative Loan Trust, Ser. 7, Class 4A3,<BR>8.00%,
 11/25/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,634,533</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,488</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MASTR Asset Securitization Trust, Ser. 12, Class 3A5,
 <BR>5.25%, 10/25/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,358,441</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,697</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Residential Asset Securitization Trust, Ser. A8, Class A2,<BR>
 5.223%, 10/25/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,630,061</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,908</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Residential Funding Securities Corp., Ser. RM2, Class AI5,<BR>
 8.50%, 5/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,580,089</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,6,7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Summit Mortgage Trust, Ser. 1, Class B1,<BR>6.611%,
12/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Non-Agency Multiple Class Mortgage<BR>Pass-Through
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,836,448</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Inverse Floating Rate Mortgage Securities&#151;4.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1043, Class H, 21.938%,
2/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,443</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1148, Class E, 592.552%,
10/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>545</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1160, Class F, 18.381%,
10/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,693</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>96</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,2</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1616, Class SB, 8.50%,
11/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>96,046</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>192</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1688, Class S, 9.566%,
12/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>192,669</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,359</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2769, Class SQ, Zero Coupon,
2/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,718,727</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2840, Class SK, 1.499%,
8/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,600,748</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,373</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 3167, Class SX, 6.953%,
6/15/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,277,238</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 7, Class S, 594.704%,
3/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,484</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 10, Class S, 575.455%,
5/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,584</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 12, Class S, 608.135%,
5/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 17, Class S, 580.114%,
6/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,925</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 38, Class SA, 10.186%,
4/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,332</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 46, Class S, 1,402.625%,
5/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,283</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 49, Class S, 527.80%,
12/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,478</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>114</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 72, Class S, 8.75%,
5/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>114,584</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,828</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 73, Class DS, 4.882%,
8/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,625,111</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>119</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 87, Class S, 13.764%,
8/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>144,608</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 93, Class S, 8.50%,
5/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,334</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 170, Class SC, 9.00%,
9/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>222</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 196, Class SC, 8.423%,
10/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>222,978</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 214, Class SH, 5.592%,
12/25/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>109,958</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>899</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 247, Class SN, 10.00%,
12/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,002,361</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>First Horizon Alternative
 Mortgage Securities,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>72,527</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. FA7, Class 1A7, Zero Coupon,
10/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>736,052</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>179,328</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. FA9, Class A2, Zero Coupon,
12/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,905,915</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="45%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3  COLOR="#005695" FACE=ARIAL>Portfolio of Investments<FONT SIZE=2 FACE=ARIAL> as of October 31, 2007</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2  COLOR="#005695" FACE=ARIAL><B>BlackRock
 Income Trust Inc. (BKT) (continued)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1  COLOR="#005695" FACE=ARIAL><B>(Percentages
 shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Inverse Floating Rate Mortgage
 Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>112</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Kidder Peabody Acceptance Corp., Ser. 1,<BR>Class A6, 7.573%,
 8/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>112,216</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>145,657</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Residential Accredit Loans, Inc., Ser. QS16,<BR>Class A2,
 Zero Coupon, 11/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>818,081</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Inverse Floating Rate Mortgage Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,879,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Interest Only Asset-Backed Securities&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110,512</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Banc of America Funding Corp., Ser. 2,<BR>Class 1A19, 0.528%,
 3/25/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>691,670</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>81</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,6</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Morgan Stanley Capital Trust I, Ser. HF1, Class X,<BR>2.25%,
 6/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sterling Coofs Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1, 2.365%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>698,905</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,244</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>6</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2, 2.081%, 3/30/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>302,195</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Interest Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,692,774</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Interest Only Mortgage-Backed
 Securities&#151;12.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,135</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ABN Amro Mortgage Corp., Ser. 4, Class A2,<BR>5.50%,
3/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,901</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>229,295</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Banc of America Mortgage Securities, Inc., Ser. 3,<BR>Class
 1A, 0.285%, 5/25/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,896,595</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD  VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,802</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Commercial Mortgage Acceptance Corp., Ser. ML1,<BR>0.705%,
 11/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>458,311</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,770</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,6</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Credit Suisse First Boston Mortgage Securities Corp.,<BR>Ser.
 C1, Class AX, 1.486%, 6/20/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>304,690</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>142,857</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CWALT, Inc., Ser. 79CB, Class A2, 0.078%,
1/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,827,318</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,972</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 60, Class HS, 1.125%, 4/25/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,746</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 176, Class M, 1,010.00%,
7/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 200, Class R, 98,513.94%,
12/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,735</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 204, Class IO, 6.00%,
5/01/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>407,040</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1054, Class I, 435.32%,
3/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1056, Class KD, 1,084.50%,
3/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,195</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1179, Class O, 1,009.389%,
11/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>82</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>168</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1706, Class IA, 7.00%,
10/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,174</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1720, Class PK, 7.50%,
1/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,773</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1914, Class PC, 0.75%,
12/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,104</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>719</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2296, Class SA, 2.659%,
3/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,402</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>358</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2444, Class ST, 2.879%,
9/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,985</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,417</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2542, Class MX, 5.50%,
5/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>211,221</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,564</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2545, Class NI, 5.50%,
3/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>310,315</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>490</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2559, Class IO, 0.50%,
8/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,929</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,079</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2561, Class EW, 5.00%,
9/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>330,514</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,535</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2611, Class QI, 5.50%,
9/15/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,911,501</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,084</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2633, Class PI, 4.50%,
3/15/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,691</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,307</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2647, Class IV, 1.959%,
7/15/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,159,405</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2653, Class MI, 5.00%,
4/15/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270,379</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2658, Class PI, 4.50%,
6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87,123</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,985</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2672, Class TQ, 5.00%,
3/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>61,706</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,633</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2687, Class IL, 5.00%,
9/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>346,465</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,352</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2687, Class IQ, 5.50%,
9/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,237</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2693, Class IB, 4.50%,
6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>72,307</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,454</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2694, Class LI, 4.50%,
7/15/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>201,286</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,516</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2773, Class OX, 5.00%,
2/15/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>490,886</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,428</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2780, Class SM, 0.909%,
4/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>417,281</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,727</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2825, Class NI, 5.50%,
3/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,461,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,587</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2827, Class SR, 0.909%,
1/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>305,563</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2865, Class SR, 0.92%,
10/15/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>952,603</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,899</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2865, Class SV, 1.327%,
10/15/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,073,798</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,733</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2949, Class IO, 5.50%,
3/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>206,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33,027</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2990, Class WR, 1.519%,
6/15/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,984,065</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,788</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 3122, Class IS, 1.609%,
3/15/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,412,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>90,419</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 3225, Class EY, 1.199%,
10/15/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,422,749</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,534</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 3299, Class TI, 5.00%,
4/15/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>668,994</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Interest Only Mortgage-Backed
 Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 5, Class H, 9.00%, 1/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,871</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 7, Class 2, 8.50%, 4/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,133</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 9, Class BI, 5.50%,
10/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>562,098</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 12, Class C, 1,016.897%,
2/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,735</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,608</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 13, Class IG, 5.00%,
10/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>86,885</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>738</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 33, Class SG, 3.225%,
3/25/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,452</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,106</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 36, Class SP, 1.828%,
5/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,367,058</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 38, Class N, 1,008.50%,
4/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>438</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>837</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 43, Class LC, 6.00%,
3/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>198,642</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 50, Class G, 1,158.628%,
12/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,002</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>674</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 50, Class SI, 1.20%,
4/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,001</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 51, Class IE, 5.50%,
4/25/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>58,423</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,340</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 55, Class GI, 5.00%,
7/25/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>458,903</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,224</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 55, Class SB, 1.278%,
7/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>511,975</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 59, Class S, 4.917%,
10/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>569,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>576</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 60, Class SB, 1.60%,
10/25/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,680</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>146</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 62, Class IC, 5.50%,
7/25/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,538</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,630</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 66, Class CI, 5.00%,
7/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,376,325</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,945</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 68, Class SC, 3.225%,
1/25/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>103,751</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,693</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 73, Class ST, 1.258%,
8/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>546,888</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,094</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 88, Class TI, 4.50%,
11/25/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>109,742</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 89, Class 2, 8.00%,
6/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,910</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>29,807</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 90, Class JH, 1.828%,
11/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,667,334</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,213</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 90, Class M, 6.00%,
1/25/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,423,410</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 94, Class 2, 9.50%,
8/01/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,649</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 99, Class L, 930.00%,
8/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,741</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 122, Class IC, 5.00%,
9/25/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>368,323</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 123, Class M, 1,009.50%,
10/25/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,135</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 136, Class S, 15.214%,
11/25/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32,457</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 139, Class PT, 648.35%,
10/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,582</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,186</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 199, Class SB, 2.625%,
10/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>113,348</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>633</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. W4, Class IO, 6.50%,
12/25/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>135,539</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD  VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>89</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Boston Mortgage Securities Corp., Ser. C,<BR>Class I,
 10.965%, 4/25/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,021</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,028</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Horizon Alternative Mortgage Securities,<BR>Ser. FA2,
 Class 1A4, 0.628%, 5/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>380,454</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,323</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>General Motors Acceptance Corp., Commercial Mortgage
 Securities, Inc.,<BR>Ser. C1, Class X, 1.315%, 7/15/27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>320,421</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,835</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1,6</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Goldman Sachs Mortgage Securities Corp., Ser. 5, 0.97%,
 2/19/25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>154,243</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Government National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,722</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 18, Class SL, 1.203%,
2/20/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>773,287</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 39, Class ID, 5.00%,
5/20/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>459,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,945</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 58, Class IT, 5.50%,
7/20/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>255,838</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,717</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 75, Class IJ, 5.50%,
7/20/25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,022</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,629</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 89, Classl SA, 0.84%,
10/16/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>592,706</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>153,908</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Indymac Index Mortgage Loan Trust, Ser. AR33,<BR>Class 4AX,
 0.165%, 1/25/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>700,218</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>57</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Kidder Peabody Acceptance Corp., Ser. B,<BR>Class A2, 9.50%,
 4/22/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,028</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24,598</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MASTR Adjustable Rate Mortgages Trust, Ser. 3,<BR>Class 3AX,
 0.977%, 4/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>352,827</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,311</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MASTR Alternative Loan Trust, Ser. 9, Class 15X2,<BR>6.00%,
 1/25/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>245,404</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,609</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Morgan Stanley Capital Trust I, Ser. 3, Class 1AX,<BR>5.00%,
 5/25/19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>237,158</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>66,154</FONT></P>
</TD>
<TD VALIGN=top>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sequoia Mortgage Trust, Ser. 2, Class XA,<BR>0.775%,
3/20/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>686,683</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,379</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Small Business Administration, Ser. 1, 1.381%,
4/01/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63,790</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="45%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695"  FACE=ARIAL>Portfolio of Investments<FONT SIZE=2 FACE=ARIAL> as of October 31, 2007</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2  COLOR="#005695" FACE=ARIAL><B>BlackRock
 Income Trust Inc. (BKT) (continued)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1  COLOR="#005695" FACE=ARIAL><B>(Percentages
 shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Interest Only Mortgage-Backed
 Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Structured Adjustable Rate Mortgage Loan Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,185</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2, Class 4AX, 5.50%,
3/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,346,970</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 7, Class 3AS, 2.548%,
8/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,353,522</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 18, Class 7AX, 5.50%,
9/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>751,739</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,082</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 20, Class 3AX, 5.50%,
10/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>755,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Vendee Mortgage Trust, Ser. 2, Class 1, 0.052%,
5/15/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>215,679</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Interest Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>52,928,053</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Principal Only Mortgage-Backed
 Securities&#151;4.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Countrywide Home Loans, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,329</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 26, 4.944%, 8/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,217,491</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,043</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. J4, 5.142%, 6/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>745,815</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,427</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. J5, 4.911%, 7/25/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>847,321</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,152</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. J8, 4.787%, 9/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>882,292</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Drexel Burnham Lambert, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. K, Class 1, 11.50%,
9/23/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,301</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>269</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. V, Class 1, 11.50%,
9/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>240,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>233</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P  STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 8, Class A10, 6.737%,
11/15/28</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>208,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>153</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1418, Class M, 7.50%,
11/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>144,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>577</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1571, Class G, 7.50%,
8/15/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>538,553</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,044</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1691, Class B, 7.50%,
3/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,825,583</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>184</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1739, Class B, 7.50%,
2/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>170,847</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>298</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2, Class KB, 8.00%,
1/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>251,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>43</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 7, Class J, 10.00%,
2/25/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>36,451</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>896</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 13, Class PR, 6.50%,
3/25/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>721,798</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>143</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 51, Class E, 8.00%,
2/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>124,053</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 70, Class A, 7.00%,
5/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,709</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 167, Class D, 8.50%,
10/25/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,077</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>43</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 203, Class 1, 8.00%,
2/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>36,053</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 228, Class 1, 7.00%,
5/01/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24,248</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,947</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 249, Class B, 7.50%,
11/25/23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,662,352</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 273, Class 1, 7.00%,
7/01/26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>186,899</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,422</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 328, Class 1, 6.00%,
11/01/32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,411,524</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,590</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 338, Class 1, 5.50%,
6/01/33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,672,048</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>336</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. W4, Class PO, 5.985%,
2/25/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>263,208</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>314</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MASTR Asset Securitization Trust, Ser. 3, Class 4A15,<BR>
 5.634%, 3/25/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>173,253</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD  VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>983</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Residential Asset Securitization Trust, Ser. A15,<BR>Class
 1A8, 5.713%, 2/25/36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>502,836</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>4,8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Structured Mortgage Asset Residential Trust,<BR>Ser. 3C,
 Class CX, 7.031%, 4/25/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,439</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>956</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Washington Mutual, Ser. 9, Class CP, 5.112%,
11/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>721,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Principal Only Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,708,854</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Collateralized
 Mortgage Obligation Residual Securities&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Collateralized Mortgage Obligation Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 40, Class R, 580.50%,
4/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>338</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 42, Class R, 6,000.00%,
10/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,440</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal Home Loan Mortgage Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 19, Class R, 9,757.652%,
3/15/20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,952</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 75, Class R, 9.50%,
1/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 75, Class RS, 17.757%,
1/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 173, Class R, 9.00%,
11/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 173, Class RS, 9.103%,
11/15/21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Painewebber CMO Trust, Ser. 88 M, Class 6, 13.80%,
9/01/18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<tr>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Collateralized Mortgage Obligation Residual
 Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,786</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="3" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>U.S. Government and
 Agency Securities&#151;9.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Overseas Private Investment Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>325</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.09%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>307,885</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>910</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.30%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>909,323</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>683</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.64%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>692,592</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>386</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.68%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>367,702</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,928</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.87%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,996,217</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.40%, 5/29/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>376,330</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>U.S. Government and Agency
 Securities&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Resolution Funding Corp., Ser. B,
 Zero Coupon, 4/15/30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,333,823</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Small Business Administration,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>612</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 20C-1, 7.15%, 3/01/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>634,079</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>616</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 20E-1, 7.60%, 5/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>638,742</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>816</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 20F-1, 7.55%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>846,061</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>560</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 20G-1, 7.70%, 7/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>582,014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>833</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 20H-1, 7.25%, 8/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>862,324</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,492</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 20K-1, 6.95%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,538,213</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>U.S. Treasury Strip, Zero Coupon,
 11/15/24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,123,880</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>41,209,185</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Corporate Bond&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1 FACE=ARIAL>2,448</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Structured Asset Receivable
 Trust, 5.68%, 1/21/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,423,798</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Commercial Mortgage-Backed Securities&#151;1.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,420</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Credit Suisse Mortgage Capital Certificates, Ser. C2,<BR>
 Class A3, 5.542%, 1/15/49</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,394,680</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Union Commercial Mortgage Securities, Inc.,<BR>Ser. C2,
 Class D, 7.12%, 11/18/29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,757,506</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Commercial Mortgage-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,152,186</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Asset-Backed Securities&#151;1.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,890</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Franklin Mortgage Loan Asset Backed Certificates,<BR>
 Ser. FF2, Class M2, 5.313%, 3/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,414,503</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Securitized Asset Backed Receivables LLC Trust,<BR>Ser. OP2,
 Class M1, 5.303%, 10/25/35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,730,120</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,144,623</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT  SIZE=1 FACE=ARIAL><B>Total Long-Term Investments<BR>(cost $444,968,496)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>437,744,481</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>SHORT-TERM INVESTMENT&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>U.S. Government and Agency Discount
 Notes&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD  VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>9</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal Home Loan Bank Disc. Notes, 4.401%,<BR>11/01/07 (cost
 $1,600,000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,600,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>BORROWED BOND AGREEMENT&#151;8.3%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,721</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>11</FONT></SUP></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lehman Brothers, Inc., 4.64%, 11/08/07<BR>(cost
$34,720,656)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,720,656</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="8" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>OUTSTANDING OPTIONS PURCHASED&#151;2.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest Rate Swaps,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives
5.39%,<BR>expires 3/19/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>296,161</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,965</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives
5.495%,<BR>expires 5/08/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,394,313</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives
5.52%,<BR>expires 9/21/36</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>324,406</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,965</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives
5.725%,<BR>expires 5/24/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,253,348</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives
5.78%,<BR>expires 8/09/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>148,512</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,640</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives
6.025%,<BR>expires 6/08/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>531,187</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,640</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives
6.025%,<BR>expires 6/08/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>272,765</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.39%, Trust receives 3-month
LIBOR,<BR>expires 3/19/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>357,116</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.47%, Trust receives 3-month
LIBOR,<BR>expires 5/08/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>531,960</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.47%, Trust receives 3-month
LIBOR,<BR>expires 5/08/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>579,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,965</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.495%, Trust receives 3-month
LIBOR,<BR>expires 5/08/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,467,833</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.52%, Trust receives 3-month
LIBOR,<BR>expires 9/21/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>373,168</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="45%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3  COLOR="#005695" FACE=ARIAL>Portfolio of Investments <FONT SIZE=2 FACE=ARIAL>as of October 31, 2007</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2  COLOR="#005695" FACE=ARIAL><B>BlackRock
 Income Trust Inc. (BKT) (concluded)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1  COLOR="#005695" FACE=ARIAL><B>(Percentages
 shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>OUTSTANDING OPTIONS PURCHASED&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:0IN;  MARGIN-LEFT:25.9PT;  TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>31,965</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.725%, Trust receives 3-month LIBOR,<BR>expires
 5/24/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,625,420</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE='MARGIN-RIGHT:0IN;  MARGIN-LEFT:25.9PT;  TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>2,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.78%, Trust receives 3-month LIBOR,<BR>expires
 8/09/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>77,446</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT  SIZE=1 FACE=ARIAL><B>Total Outstanding Options Purchased<BR>(cost
 $8,039,528)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,233,335</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Total Investments before borrowed bonds,<BR>TBA
 sale commitments, and outstanding options written (cost $489,328,680<SUP>10</SUP>)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>483,298,472</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>BORROWED BOND&#151;(8.5)%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(34,505</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>U.S. Treasury Notes, 4.75%, 5/31/12<BR>(proceeds
$34,289,344)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(35,402,682</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>TBA SALE
 COMMITMENTS&#151;(12.1)%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(19,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.00%, 11/13/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(18,989,428</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(15,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%, 11/13/37</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(15,666,460</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(16,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%, 11/13/37</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(16,115,008</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT  SIZE=1 FACE=ARIAL><B>Total TBA Sale Commitments<BR>(proceeds
 $49,863,740)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(50,770,896</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#005695" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Contracts/<BR>
 Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>OUTSTANDING OPTIONS
 WRITTEN&#151;(2.7)%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(23</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Eurodollar Future, expiring 12/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(28,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(38</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Eurodollar Future, expiring 3/17/08 Interest Rate
Swaps,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(56,437</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives 5.135%,<BR>expires
 4/21/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(97,385</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(7,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives 5.148%,<BR>expires
 3/19/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(119,063</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(19,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives 5.448%,<BR>expires
 5/07/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,299,480</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives 5.46%,<BR>expires
 8/22/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(52,272</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives 5.485%,<BR>expires
 10/28/19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(158,647</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(12,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives 5.67%,<BR>expires
 1/04/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(315,828</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(19,495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives 5.685%,<BR>expires
 5/24/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,024,462</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(63,930</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 3-month LIBOR, Trust receives 5.88%,<BR>expires
 6/23/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,831,325</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(7,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.115%, Trust receives 3-month LIBOR,<BR>expires
 3/19/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(118,698</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.135%, Trust receives 3-month LIBOR,<BR>expires
 4/21/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(97,385</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(19,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.448%, Trust receives 3-month LIBOR,<BR>expires
 5/07/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,241,955</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.46%, Trust receives 3-month LIBOR,<BR>expires
 8/22/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(131,135</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.485%, Trust receives 3-month LIBOR,<BR>expires
 10/28/19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(212,156</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(12,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.67%, Trust receives 3-month LIBOR,<BR>expires
 1/04/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(599,912</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>OUTSTANDING OPTIONS
 WRITTEN&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(19,495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.685%, Trust receives 3-month LIBOR,<BR>expires
 5/24/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,567,203</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(63,930</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trust pays 5.88%, Trust receives 3-month LIBOR,<BR>expires
 6/23/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(265,310</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT  SIZE=1 FACE=ARIAL><B>Total Outstanding Options Written<BR>
 (premium received $9,904,416)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(11,216,778</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Total investments net of borrowed bonds,
 TBA sale commitments and outstanding options written&#151;92.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>385,908,116</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Other assets in excess of
 liabilities&#151;7.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,742,835</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Net Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>$</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>417,650,951</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</table>
<BR>
<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
</TR>
</TABLE>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Variable rate security. Rate
 shown is interest rate as of October 31, 2007.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Security, or a portion thereof,
 pledged as collateral with a value of $6,412,510 on 123 long U.S. Treasury
 Note futures contracts expiring December 2007, 686 short Eurodollar futures
 contracts expiring December 2007 to September 2009, 3,506 short U.S. Treasury
 Note futures contracts expiring December 2007 and 463 short U.S. Treasury
 Bond futures contracts expiring December 2007. The notional value of such
 contracts on October 31, 2007 was $756,077,952, with an unrealized loss of
 $4,500,487.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Entire or partial principal
 amount pledged as collateral for reverse repurchase agreements. See Note 4 in
 the Notes to Financial Statements for details of open reverse repurchase
 agreements.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Illiquid security. As of October
 31, 2007, the Trust held 0.7% of its net assets, with a current market value
 of $2,789,604, in these securities.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Represents an investment in an
 affiliate.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>6</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Security is not registered under
 the Securities Act of 1933. These securities may be resold in transactions in
 accordance with Rule 144A under that Act, to qualified institutional buyers.
 As of October 31, 2007, the Trust held 0.2% of its net assets, with a current
 market value of $775,270, in securities restricted as to resale.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Security is fair valued.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Rate shown is effective yield of
 the underlying collateral as of October 31, 2007.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>9</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Rate shown is the yield to
 maturity as of the date of purchase.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>10</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Cost for federal income tax
 purposes is $489,476,259. The net unrealized depreciation on a tax basis is
 $6,177,787, consisting of $21,888,429 gross unrealized appreciation and
 $28,066,216 gross unrealized depreciation.<BR><BR></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><SUP><FONT SIZE=1 FACE=ARIAL>11</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>See Note 1 in the Notes to
 Financial Statements for details of borrowed bond agreements.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="46%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT><FONT SIZE=2 COLOR="#005695" FACE=ARIAL> as of October 31,
2007</FONT></P>
</TD>
<TD VALIGN=TOP nowrap>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><B>BlackRock Limited Duration Income Trust
 (BLW)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>LONG-TERM
 INVESTMENTS&#151;133.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Corporate
 Bonds&#151;49.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Aerospace
 &amp; Defense&#151;1.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,560</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>AAR Corp., Ser. A2, 8.39%, 5/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,575,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>745</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Bombardier, Inc., 8.00%, 11/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>774,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,236</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,563,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>DRS Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>330</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.875%,
 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>330,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>310</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.625%,
 2/01/18</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>316,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>755</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Sequa Corp., 9.00%, 8/01/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>809,737</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>570</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>TransDigm, Inc., 7.75%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>579,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,950,337</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Automotive&#151;2.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Accuride Corp., 8.50%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>799,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>AutoNation, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>690</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.00%,
 4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>667,575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>690</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.243%,
 4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>674,475</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>DaimlerChrysler NA Holding Corp., 4.05%, 6/04/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,439,415</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Ford Capital BV, 9.50%, 6/01/10 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>503,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Lear Corp., Ser. B, 8.75%, 12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,512,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Metaldyne Corp., 11.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>930,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,535,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Automotive</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,061,215</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Basic
 Materials&#151;3.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,405</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,032,675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>AK Steel Corp., 7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,244,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>American Pacific Corp., 9.00%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,127,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>670</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Bowater, Inc., 8.694%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>613,050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>114,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>CPG Intl. I, Inc., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Domtar, Inc., (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.125%,
 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>297,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.875%,
 10/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>143,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Freeport-McMoRan Copper &amp; Gold, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,585</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.375%,
 4/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,020,575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.394%,
 4/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>774,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Huntsman LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.625%,
 10/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,067,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>310</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>12.00%,
 7/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>337,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Ineos Group Holdings Plc (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,490</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.875%,
 2/07/16 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,985,671</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,885</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.50%,
 2/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,740,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,225</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Innophos, Inc., 8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,241,687</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=MIDDLE>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>980</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Key
 Plastics LLC/Key Plastics Finance Corp.,<BR>
 11.75%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>833,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>560</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Lyondell Chemical Co., 10.50%, 6/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>603,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>NewPage Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>810</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>856,575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.161%,
 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,616,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>12.00%,
 5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>324,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>NOVA Chemicals Corp., 8.484%, 11/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>491,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>730</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Terra Capital, Inc., Ser. B, 7.00%, 2/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>730,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,944,333</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Building
 &amp; Development&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>DR Horton, Inc., 5.875%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,688,714</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Goodman Global Holding Co., Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.875%,
 12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,090,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>269</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.36%,
 6/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270,345</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>665</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Nortek, Inc., 8.50%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>588,525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>North
 American Energy Partners, Inc., 8.75%,<BR>
 12/01/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>272,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,910,284</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Commercial
 Services&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>FTI
 Consulting, Inc., 7.75%, 10/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>365,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM  BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Quebecor
 World, Inc., 9.75%, 1/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>853,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Commercial Services</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,218,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Consumer
 Products&#151;5.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,085</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ames True
 Temper, Inc., 9.243%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,001,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Avis Budget
 Car Rental LLC/Avis Budget Finance, Inc.,<BR>
 8.058%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>128,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>General
 Nutrition Centers, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.85%,
 3/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,165,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,880</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.75%,
 3/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,828,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Group 1
 Automotive, Inc., 8.25%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>JCPenney
 Co., Inc., 8.00%, 3/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,687,540</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,475</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lazy Days
 RV Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,327,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Michaels
 Stores, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,210</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,226,575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.375%,
 11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,793,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>73</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Neiman-Marcus
 Group, Inc., 9.00%, 10/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>77,015</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Quiksilver,
 Inc., 6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>536,187</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom  BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reynolds
 American, Inc., 7.625%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,081,917</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Rite Aid
 Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,440</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.50%,
 3/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,199,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.125%,
 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,031,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,790</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sally
 Holdings LLC, 10.50%, 11/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,781,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Consumer Products</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33,865,134</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Containers
 &amp; Packaging&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Berry
 Plastics Holding Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,210</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.875%,
 9/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,240,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>835</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.569%,
 9/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>837,087</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>885</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Crown
 Americas LLC/Crown Americas Capital Corp.,<BR>
 7.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>911,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>585</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Graham
 Packaging Co., Inc., 8.50%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>580,613</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,370</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Impress
 Holdings BV, 8.368%, 9/15/13 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,362,813</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,020</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Pregis
 Corp., 12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,201,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,134,113</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Ecological
 Services &amp; Equipment&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Casella
 Waste Systems, Inc., 9.75%, 2/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,040,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,065</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Waste
 Services, Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,065,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,105,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;4.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AES Corp.,
 8.75%, 5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,816,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Berry
 Petroleum Co., 8.25%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>561,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,210</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Chaparral
 Energy, Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,128,325</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Chesapeake
 Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.375%,
 6/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>630,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.875%,
 11/15/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>97,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.50%,
 9/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,110,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Compagnie
 Generale de Geophysique-Veritas (France)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>255</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.50%,
 5/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>260,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>420</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.75%,
 5/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>432,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>925</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Compton
 Petroleum Finance Corp., 7.625%,<BR>
 12/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>885,687</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,640</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>East
 Cameron Gas Co., 11.25%, 7/09/19<BR>
 (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,574,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>590</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Edison
 Mission Energy, 7.50%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>598,113</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>El Paso
 Natural Gas Co., 8.875%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>466,279</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>159</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Elwood
 Energy LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>162,789</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Encore
 Acquisition Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.00%,
 7/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>226,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.25%,
 12/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>191,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>495</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Exco
 Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>488,813</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>380</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Grant
 Prideco, Inc., Ser. B, 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>381,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>895</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>KCS Energy,
 Inc., 7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>881,575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=Bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,324</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=Bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Midwest
 Generation LLC, Ser. B, 8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,648,585</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Mirant
 Americas Generation LLC, 8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>632,031</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="46%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT><FONT size=2 COLOR="#005695" FACE=ARIAL> as of October 31,
2007</FONT></P>
</TD>
<TD VALIGN=TOP nowrap>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><B>BlackRock Limited Duration Income Trust
 (BLW)<BR>(continued)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN="BOTTOM">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN="BOTTOM">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN="BOTTOM">
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>NRG Energy,
 Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.25%, 2/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,185</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.375%,
 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,182,037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,990</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OPTI, Inc.,
 8.25%, 12/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,994,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>580</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Orion Power
 Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>640,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,515</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sabine Pass
 LNG LP, 7.50%, 11/30/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,484,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,240</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>SemGroup LP,
 8.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,190,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>725</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Targa
 Resources, Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>732,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Whiting
 Petroleum Corp., 7.25%, 5/01/12-5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,523,675</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Energy</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33,133,384</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Entertainment &amp;
Leisure&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>505</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AMC
 Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>546,663</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,430</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Greektown
 Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,422,850</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,020</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Harrah&#146;s
 Operating Co., Inc., 5.75%, 10/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>752,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wynn Las
 Vegas LLC/Wynn Las Vegas Capital Corp.,<BR>
 6.625%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>98,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,820,013</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Financial
Institutions&#151;5.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American
 Real Estate Partners LP/American Real Estate</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Finance
 Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,480</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.125%,
 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,443,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,860</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.125%,
 6/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,903,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>839</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BMS
 Holdings, Inc., 12.40%, 2/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>805,682</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ford Motor
 Credit Co. LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.375%,
 2/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,640,938</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,665</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.80%,
 6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,564,392</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>940</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.993%,
 1/13/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>870,229</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.693%,
 4/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60,570</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,735</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>General
 Motors Acceptance Corp., 6.875%, 8/28/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,465,586</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,716</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>iPayment
 Investors LP, 11.625%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,827,972</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>iPayment,
 Inc., 9.75%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>912,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LVB
 Acquisition Merger Sub, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 10/15/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>513,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.375%,
 10/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>506,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>670</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.625%,
 10/15/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>682,563</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,590</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Momentive
 Performance Materials, Inc., 11.50%, 12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,499,350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Rainbow
 National Services LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.75%,
 9/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>962,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,134</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.375%,
 9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,447,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,410</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Structured
 Asset Receivable Trust, 5.68%, 1/21/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,365,591</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>220</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Universal
 City Florida Holding Co. I/II, 9.661%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>224,950</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,780</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wimar Opco
 LLC/Wimar Opco Finance Corp.,<BR>
 9.625%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,085,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Financial Institutions</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35,781,173</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Health Care&#151;1.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Norcross
 Safety Products LLC/Norcross Capital Corp.,<BR>
 9.875%, 8/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,112,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,985</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Tenet
 Healthcare Corp., 6.50%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,682,288</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,948</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Viant
 Holdings, Inc., 10.125%, 7/15/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,771,120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Health Care</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,565,908</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Industrials&#151;1.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AGY Holding
 Corp., 11.00%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,674,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Hexcel
 Corp., 6.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>638,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>905</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Park-Ohio
 Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>843,913</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>RBS Global,
 Inc./Rexnord Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.50%,
 8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,065,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,430</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.75%,
 8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,515,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sunstate
 Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Industrials</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,737,838</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Media&#151;8.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Affinion
 Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.125%,
 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,058,937</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.50%,
 10/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>886,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>420</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American
 Media Operations, Inc., Ser. B, 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>402,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN="BOTTOM">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN="BOTTOM">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cablevision
 Systems Corp., Ser. B, 9.644%, 4/01/09 </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>822,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>520</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CanWest
 MediaWorks, Inc., 8.00%, 9/15/12 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>507,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,395</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Charter
 Communications Holdings I LLC/Charter<BR>
 Communications Holdings I Capital Corp.,<BR>
 11.00%, 10/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,353,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,880</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Charter
 Communications Holdings II LLC/Charter<BR>
 Communications Holdings II Capital Corp.,<BR>
 10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,937,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>865</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. B,
 10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>880,138</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,425</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CMP
 Susquehanna Corp., 9.875%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,227,969</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,685</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Comcast
 Cable Communications, Inc., 6.875%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,854,899</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dex Media
 West LLC/Dex Media Finance Co.,<BR>
 Ser. B, 9.875%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,759,313</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>DirecTV
 Holdings LLC/DirecTV Financing Co.,<BR>
 8.375%, 3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>522,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>EchoStar
 DBS Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.75%,
 10/01/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,793,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,330</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.00%,
 10/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,384,863</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.125%,
 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>209,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,525</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Idearc,
 Inc., 8.00%, 11/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,531,312</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ION Media
 Networks, Inc., 8.493%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,005,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,105</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Network
 Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,118,156</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,790</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nexstar
 Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,678,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nielsen
 Finance LLC/Nielsen Finance Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.115%,
 8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,011,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,340</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.00%,
 8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,567,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,465</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>RH
 Donnelley Corp., Ser. A-3, 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,465,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Salem
 Communications Corp., 7.75%, 12/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,007,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>460</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sinclair
 Broadcast Group, Inc., 4.875%, 7/15/18</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>417,019</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sirius
 Satellite Radio, Inc., 9.625%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>183,844</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TL
 Acquisitions, Inc., 10.50%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,477,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,465</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Univision
 Communications, Inc., 9.75%, 3/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,435,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,390</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Vertis,
 Inc., 9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,390,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,342</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Young Broadcasting,
 Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,081,480</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Media</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>58,968,905</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Real
 Estate&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P><FONT SIZE=1 FACE=ARIAL>Rouse Co., 5.375%, 11/26/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,812,352</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Technology&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Amkor
 Technology, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,063</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.75%,
 5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,995,952</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.25%,
 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>613,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,965</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Celestica,
 Inc., 7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,886,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Freescale
 Semiconductor, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,015</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.125%,
 12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,728,575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.569%,
 12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>551,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>NXP BV/NXP
 Funding LLC, 9.50%, 10/15/15 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,535,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,835</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sanmina-SCI
 Corp., 8.125%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,610,213</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>SunGard
 Data Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>590</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.125%,
 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>601,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>10.25%,
 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,710,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,765</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Superior
 Essex Communications LLC/Essex Group, Inc.,<BR>
 9.00%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,717,937</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Technology</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,951,752</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Telecommunications&#151;7.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,420</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cincinnati
 Bell, Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,423,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>990</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cricket
 Communications, Inc., 9.375%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>982,575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6" WIDTH="12%">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Deutsche
 Telekom Intl. Finance BV, 8.00%, 6/15/10<BR>
 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,361,380</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Digicel
 Group Ltd. (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.875%,
 1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,045,856</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,797</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.125%,
 1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,611,856</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="TOP" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>860</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Hawaiian
 Telcom Communications, Inc., Ser. B,<BR>
 10.318%, 5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>870,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Intelsat
 Corp., 9.00%, 6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,551,138</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT><FONT size=2 COLOR="#005695" FACE=ARIAL> as of October 31,
2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><B>BlackRock Limited Duration Income Trust
 (BLW) (continued)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN="BOTTOM">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN="BOTTOM">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Intelsat
 Ltd. (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>415</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.886%,
 1/15/15 </FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>421,225</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.25%,
 6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,867,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>630</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.25%,
 6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>677,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,815</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>11.409%,
 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,934,637</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,470</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Intelsat
 Subsidiary Holding Co. Ltd., 8.625%,<BR>
 1/15/15 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,492,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MetroPCS
 Wireless, Inc., 9.25%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>496,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT style="margin-top:3px"><FONT SIZE=1  FACE=ARIAL>3,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT;margin-top:3px'><FONT  SIZE=1 FACE=ARIAL>Nordic
 Telephone Co. Holdings A.p.S.,<BR>
 8.875%, 5/01/16 (Denmark)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,071,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nortel
 Networks Ltd., 9.493%, 7/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,258,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,517</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>PanAmSat
 Corp., 9.00%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,587,340</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,287</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ProtoStar I
 Ltd., 12.50%, 10/15/12 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,451,615</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,364</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Qwest
 Communications Intl., Inc., 9.058%, 2/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,370,820</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Qwest
 Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.875%,
 9/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,055,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.944%,
 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,665,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,675</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>9.125%,
 3/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,929,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,595</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>West Corp.,
 11.00%, 10/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,765,762</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT style="margin-top:3px"><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT;margin-top:3px'><FONT  SIZE=1 FACE=ARIAL>Wind
 Acquisition Finance S.A., 10.75%,<BR>
 12/01/15 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,668,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Windstream
 Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,340</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.125%,
 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,474,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,060</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.625%,
 8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,134,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,168,929</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Transportation&#151;1.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>520</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American
 Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>513,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>490</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Britannia
 Bulk Plc, 11.00%, 12/01/11 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>514,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,715</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CHC
 Helicopter Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,659,263</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Navios
 Maritime Holdings, Inc., 9.50%,<BR>
 12/15/14 (Marshall Islands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,273,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Overseas
 Shipholding Group, Inc., 8.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,769,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>St.
 Acquisition Corp., 12.50%, 5/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,211,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Transportation</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,941,763</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Total Corporate Bonds</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>335,071,308</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Bank
 Loans&#151;56.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Aerospace
 &amp; Defense&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>DI
 Finance/DynCorp Intl., Loan B,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR +
 2.00%, 2/11/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,675,789</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>486</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wesco
 Aircraft Hardware Corp., First Lien Loan,<BR>
 LIBOR + 2.25%, 9/29/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>480,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,156,164</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Automotive&#151;1.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>637</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>IAP
 Worldwide Services, Inc., First Lien Loan,<BR>
 LIBOR + 6.25%, 12/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>571,731</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,489</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Keystone
 Automotive Industries, Inc., Loan B,<BR>
 LIBOR + 3.50%, 1/12/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,385,778</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>964</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Mark IV
 Industries, Inc., First Lien Loan,<BR>
 LIBOR + 2.50%, 6/21/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>927,972</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>765</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Metaldyne
 Corp., LIBOR , 1/11/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>745,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>496</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Motorsport
 Aftermarket Group, Inc.,<BR>
 LIBOR + 2.50%, 11/30/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>477,641</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Navistar
 Intl. Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Revolver
 Loan, Unfunded, 0.50%, 1/19/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>980,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR +
 3.25%, 1/19/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,697,062</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>921</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Rent-A-Center,
 Inc., Loan B, LIBOR + 1.75%, 6/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>899,519</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reynolds
 &amp; Reynolds Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,870</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR +
 2.00%, 10/26/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,821,930</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien
 Loan, LIBOR + 5.50%, 10/26/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,246,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Automotive</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,755,133</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="12%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN="BOTTOM" STYLE="border-bottom:solid black 1px" WIDTH="66%">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Basic
 Materials&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>998</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Appleton Papers, Inc., Loan B, LIBOR + 1.75%, 6/05/14 </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>956,977</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>499</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>BOC Edwards, LIBOR + 2.00%, 5/31/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>466,331</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Brenntag Holdings (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>282</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B6,
 LIBOR + 2.00%, 9/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>390,878</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>218</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B6b,
 LIBOR + 2.00%, 9/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>302,615</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cognis Group, LIBOR, 11/17/13 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,391,641</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>786</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Compass
 Minerals Group, Inc.,<BR>
 LIBOR + 1.50%, 12/22/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>773,060</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Huntsman Intl. LLC, Loan B, LIBOR + 1.75%, 4/19/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>545,102</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Ineos Group Holdings Plc,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,241</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan A4,
 LIBOR + 2.25%, 12/16/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,210,496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,682</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B2,
 LIBOR + 2.25%, 12/16/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,664,679</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,682</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C2,
 LIBOR + 2.75%, 12/23/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,664,223</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Invista BV,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,283</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B1,
 LIBOR + 1.50%, 4/29/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,259,879</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>680</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B2,
 LIBOR + 1.50%, 4/29/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>667,829</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>ISP Chemco LLC, Loan B, LIBOR + 1.75%, 6/04/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,459,218</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,151</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>John Maneely Co., Loan B, LIBOR + 3.25%, 12/08/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,065,305</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,562</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Nalco Co., Loan B, LIBOR + 1.75%, 11/04/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,551,152</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Rockwood
 Specialties Group, Inc., Loan E,<BR>
 LIBOR + 1.50%, 12/13/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>957,694</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,611</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>SP Newsprint, Loan B, LIBOR + 3.75%, 1/09/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,562,778</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,889,857</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Building
 &amp; Development-2.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>196</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Armstrong
 World Industries, Inc., LIBOR + 1.75%, 10/02/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>194,045</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,238</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Beacon
 Roofing Supply, Inc., Loan B,<BR>
 LIBOR + 2.00%, 9/30/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,175,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Brand
 Energy &amp; Infrastructure Services, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>498</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien
 Loan B, LIBOR + 2.25%, 2/07/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>474,698</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien
 Loan, LIBOR + 6.00%, 2/07/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>477,917</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,481</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Building
 Materials Holding Corp.,<BR>
 PRIME + 1.75%, 3/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,238,485</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Custom
 Building Products, Inc., Second Lien Loan,<BR>
 LIBOR + 5.00%, 4/29/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,380,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Euramax
 Intl., Inc., Second Lien Loan,<BR>
 LIBOR + 8.00% , 6/29/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>212,908</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Hanley Wood
 LLC, LIBOR + 2.25%, 3/08/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,233,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lafarge Roofing Holdings, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>











<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>725</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B1,
 LIBOR + 2.13%, 2/28/14 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>955,310</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>296</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B2,
 LIBOR + 2.13%, 2/28/14 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>390,196</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>278</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B4,
 LIBOR + 0.00%, 2/28/14</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>251,415</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>673</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C1,
 LIBOR, 2/28/15 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>890,852</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>346</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C2,
 LIBOR, 2/28/15 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>458,268</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>285</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C4,
 LIBOR, 2/28/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>258,886</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>494</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nacco
 Industries, Inc., Unfunded, 0.25%, 3/21/13</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>475,234</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>485</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nortek,
 Inc., Loan B, PRIME + 1.25%, 8/27/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>472,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>800</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1 FACE=ARIAL>Rhodes Ranch, First Lien Loan, LIBOR + 3.50%, 11/21/10</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>724,000</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,870</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>United
 Subcontractors, Inc., First Lien Loan,<BR>
 LIBOR + 3.00%, 12/27/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,533,469</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1 FACE=ARIAL>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,797,933</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Conglomerates&#151;1.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1 FACE=ARIAL>Atlantis Plastics, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien
 Loan, LIBOR + 4.00%, 9/22/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>809,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien
 Loan, LIBOR + 9.00%, 3/22/12</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>207,500</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>891</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Blount Intl., Loan B, PRIME, 8/09/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>870,631</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,946</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1 FACE=ARIAL>Colfax Corp., Loan B, LIBOR + 2.25%, 5/30/09</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,923,989</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Invensys Plc,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan A,
 LIBOR + 2.00%, 12/15/11</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>975,000</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B,
 LIBOR + 2.13%, 12/15/11 (GBP)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,042,913</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,122</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sensus
 Metering Systems, Inc., Loan B1,<BR>
 LIBOR + 2.00%, 12/17/10</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,099,304</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>722</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>St. John
 Knits Intl., Inc., Loan B, LIBOR +<BR>
 3.00%, 3/21/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>707,649</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1 FACE=ARIAL>Total Conglomerates</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,636,236</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="14%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT><FONT  SIZE=2 COLOR="#005695" FACE=ARIAL> as of October 31,
2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><B>BlackRock Limited Duration Income Trust
 (BLW) (continued)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN="BOTTOM">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN="BOTTOM">
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT COLOR="#005695"  SIZE=1 FACE=ARIAL><B>Consumer Products&#151;8.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Aearo
 Technologies, Inc., Second Lien Loan, <BR>
 LIBOR + 5.50%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>965,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>985</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>24 Hour
 Fitness Worldwide, Inc., Loan B,<BR>
 LIBOR + 2.50%, 6/08/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>965,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Advance
 Food Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>774</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B,
 PRIME + 0.75%, 3/16/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>739,064</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>222</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBD,
 Unfunded, 3/16/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>212,222</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American
 Safety Razor Co., Second Lien Loan,<BR>
 LIBOR + 6.25%, 1/30/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>746,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ARAMARK
 Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>178</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter of
 Credit, LIBOR + 2.00%, 1/26/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>173,305</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,487</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B,
 LIBOR + 2.00%, 1/26/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,424,837</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>448</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Arby&#146;s
 Restaurant Group, Inc., Loan B,<BR>
 LIBOR + 2.25%, 7/25/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>438,529</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>390</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bare
 Escentuals Beauty, Inc., First Lien Loan,<BR>
 LIBOR + 2.25%, 2/18/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>384,738</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Berkline
 Bench Craft,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B,
 PRIME + 2.75%, 11/03/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,005</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien
 Loan, TBD, 5/11/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,252</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,244</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Brickman
 Group Ltd., LIBOR + 2.00%, 1/23/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,206,438</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,011</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Burlington
 Coat Factory Warehouse Corp., Loan B,<BR>
 LIBOR + 2.25%, 5/28/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>945,381</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,090</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Central
 Garden &amp; Pet Co., Loan B,<BR>
 PRIME + 0.75%, 9/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>991,792</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cenveo
 Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed
 Draw Loan, LIBOR + 1.75%, 6/21/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>29,806</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>923</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C,
 LIBOR + 1.75%, 6/21/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>896,921</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>435</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Chiquita
 Brands Intl., Inc., Loan C, LIBOR + 3.00%, 6/28/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>427,253</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,245</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Claire&#146;s
 Stores, Inc., Loan B, LIBOR + 2.75%, 5/29/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,169,912</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>993</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Coinmach
 Corp., Loan B1, Unfunded, 1.25%, 12/19/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>985,492</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,209</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cracker
 Barrel, Loan B, LIBOR + 1.50%, 4/27/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,144,617</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Culligan
 International Co., Second Lien Loan,<BR>
 LIBOR, 4/24/13 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,912,085</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>995</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>David&#146;s
 Bridal, Inc., LIBOR + 2.00%, 1/31/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>937,788</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dole Food
 Co., Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>468</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter of
 Credit, LIBOR, 4/12/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>453,863</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,038</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR +
 2.00%, 4/12/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,005,873</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,460</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C,
 LIBOR + 2.00%, 4/12/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,352,910</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>DS Waters
 Holdings, Inc., Loan B, LIBOR, 3/07/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>486,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,936</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Eight
 O&#146;Clock Coffee, First Lien Loan,<BR>
 LIBOR + 2.75%, 11/14/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,935,747</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>672</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>FTD, Inc.,
 LIBOR + 2.00%, 7/28/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>664,045</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Gold Toe,
 Second Lien Loan, LIBOR + 6.00%, 4/30/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>343,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,938</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>JRD
 Holdings, Inc., LIBOR + 2.50%, 5/11/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,889,063</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>780</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Language
 Line, Inc., Loan B1, LIBOR + 3.25%, 6/11/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>757,381</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Le-Natures,
 Inc., Loan B, LIBOR + 4.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>577,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,420</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Michael
 Foods, Inc., Loan B1, LIBOR + 2.00%, 11/21/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,382,496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,440</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Neiman-Marcus
 Group, Inc., LIBOR + 1.75%, 4/06/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,413,836</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,330</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>New Page,
 Loan B, LIBOR + 2.25%, 5/02/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,313,308</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Orchard
 Supply Hardware Stores Corp., Loan B2,<BR>
 LIBOR + 2.45%, 12/09/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,477,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>963</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Oriental
 Trading Co., LIBOR + 2.25%, 7/31/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>924,585</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OSI Food
 Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Pre Funded
 Revolver, Unfunded, 0.50%, 6/14/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>72,256</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>922</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B,
 LIBOR + 2.25%, 6/14/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>886,522</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,910</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OSI Group
 LLC, LIBOR + 2.00% , 9/02/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,829,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,164</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Pantry,
 Inc. (The), Loan B, LIBOR + 1.75%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,122,291</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>397</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>PETCO
 Animal Supplies, Inc., LIBOR + 2.25%, 10/26/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>387,241</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>591</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Pierre
 Foods, Inc., Loan B, LIBOR + 4.00%, 6/30/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>580,901</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Pivotal
 Promontory LLC, Second Lien Loan,<BR>
 PRIME + 5.50%, 8/31/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>656,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,315</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="top" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Prestige
 Brands Holdings, Inc., Loan B,<BR>
 LIBOR + 2.25%, 4/06/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,304,701</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="12%">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN="BOTTOM" BGCOLOR="#E6E6E6" WIDTH="66%">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Quiznos
 Corp., First Lien Loan, LIBOR + 2.25%, 5/05/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,910,263</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT COLOR="#005695" SIZE=1 FACE=ARIAL><B>Consumer Products&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Riverdeep
 Interactive Learning, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>402</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bridge
 Loan, LIBOR + 7.20%, 12/21/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400,179</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>995</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B,
 LIBOR + 2.75%, 12/20/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>987,318</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ServiceMaster
 Co. (The), Bridge Loan,<BR>
 LIBOR + 4.50%, 6/19/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,371,687</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sturm
 Foods, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,368</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR +
 2.50%, 1/31/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,272,356</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien
 Loan, LIBOR + 7.00%, 7/21/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>458,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>621</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Synventive
 Acquisition, Inc., Mezzanine Loan, LIBOR, 1/31/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>279,656</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>354</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Warnaco,
 Inc., Loan B, LIBOR + 1.50%, 1/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>349,191</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wastequip,
 Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>311</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed
 Draw Loan, LIBOR + 2.25%, 2/05/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>293,286</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>689</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B,
 LIBOR + 2.25%, 2/05/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>649,215</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Consumer Products</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55,590,607</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT COLOR="#005695" SIZE=1 FACE=ARIAL><B>Containers &amp; Packaging&#151;2.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bluegrass
 Container Co. LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>364</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed
 Draw Second Lien Loan,<BR>
 LIBOR + 5.00%, 12/30/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>364,318</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>341</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien
 Loan, LIBOR + 2.25%, 6/30/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>337,969</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,140</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B,
 LIBOR + 2.25%, 6/30/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,129,527</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,136</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien
 Loan, LIBOR + 5.00%, 12/30/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,138,494</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Consolidated
 Container Co. LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>995</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien
 Loan, LIBOR + 2.25%, 3/28/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>927,837</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien
 Loan, LIBOR, 9/28/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>648,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,456</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Georgia-Pacific
 Corp., First Lien Loan, <BR>
 LIBOR + 1.75%, 12/20/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,396,598</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,975</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Graham
 Packaging Co. LP, Loan B,<BR>
 LIBOR + 2.25%, 10/07/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,869,281</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>568</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Smurfit-Stone
 Container Enterprises, Inc.,<BR>
 Unfunded, 0.50%, 11/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>561,259</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,352</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Solo Cup,
 Inc., LIBOR + 3.50%, 2/27/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,346,182</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,720,215</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT COLOR="#005695"  SIZE=1 FACE=ARIAL><B>Ecological Services &amp;
Equipment&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Envirosolutions,
 Inc., LIBOR + 3.50%, 7/07/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>470,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>73</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sensus
 Metering Systems, Inc., Loan B2,<BR>
 LIBOR + 2.00%, 12/17/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>71,423</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>541,423</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6" COLSPAN=2>
<P><FONT COLOR="#005695"  SIZE=1 FACE=ARIAL><B>Energy&#151;6.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>429</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AES Corp.,
 LIBOR + 1.75%, 4/30/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>425,223</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Big West
 Oil LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed
 Draw Loan, LIBOR + 1.50%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>528,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>448</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR +
 2.25%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>429,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Coffeyville
 Resources LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>243</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter Of
 Credit, Unfunded, 0.50%, 12/29/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>240,659</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>793</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan D,
 PRIME + 3.25%, 12/28/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>784,872</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Coleto
 Creek Power,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>127</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter of
 Credit, LIBOR + 2.85%, 6/28/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,849</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B,
 LIBOR + 2.75%, 6/28/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,814,531</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,485</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dresser,
 Inc., Loan B, LIBOR + 2.50%, 5/04/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,452,233</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ElectricInvest
 Holding Co. Ltd.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>894</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR +
 4.00% , 12/21/12 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,250,814</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR +
 4.00% , 12/21/12 (GBP)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,808,212</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Flint, Loan
 B9, LIBOR, 11/09/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,922,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Generac
 Power Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>990</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien
 Loan, PRIME + 1.50%, 11/09/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>868,372</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien
 Loan, PRIME + 5.00%, 5/10/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>358,959</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,474</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Key Energy
 Services, Inc., Loan C,<BR>LIBOR +
 2.50%, 6/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,467,302</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MACH Gen
 LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter Of
 Credit, Unfunded, 0.50%, 2/22/13</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>67,887</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>675</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR +
 2.00%, 2/22/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>651,316</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>496</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>McJunkin
 Corp., Loan B, LIBOR + 3.25%, 1/31/13</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>493,459</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>493</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MEG Energy
 Corp., Loan B, LIBOR + 2.00%, 4/03/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>481,788</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width=100%>
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>35</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="55%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="55%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR=#005695 FACE=ARIAL>Portfolio of Investments</FONT><FONT  COLOR=#005695 size=2 FACE=ARIAL> as of October 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP nowrap>
<P><FONT SIZE=2 COLOR=#005695 FACE=ARIAL><B>BlackRock
 Limited Duration Income Trust (BLW)<BR>(continued)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR=#005695 FACE=ARIAL><B>(Percentages
 shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 color=#005695 FACE=ARIAL><B>Energy&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Northeast Energy,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>159</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter of Credit, LIBOR + 2.50%,
11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>152,988</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,297</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,251,802</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien Loan, LIBOR + 4.50%,
5/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>236,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,995</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Safenet, Inc., Loan B, LIBOR,
4/12/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,895,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>SandRidge Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR, 4/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,485,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBD, 4/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,485,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Texas Competitive Electric Holdings Co. LLC,<BR>
 TBD, 10/10/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,997,424</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TPF Generation Holdings LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>151</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter of Credit, LIBOR + 2.10%,
12/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>147,381</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>770</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.00%, 12/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>753,776</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Revolver Loan, Unfunded, 0.50%,
12/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>46,201</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,477</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trinidad Energy Services Income Trust,<BR>
 LIBOR + 2.50%, 5/13/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,462,725</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>926</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Western Refining, LIBOR + 1.75%, 5/30/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>906,567</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wolf Hollow I LP,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>470</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.25%, 6/22/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>437,481</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Synthetic Letter of Credit, LIBOR +
2.25%, 6/22/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>372,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Synthetic Revolver Loan, LIBOR + 2.25%,
6/22/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Energy</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,894,197</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  color=#005695 SIZE=1 FACE=ARIAL><B>Entertainment &amp; Leisure&#151;3.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Alpha III,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>857</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B1, LIBOR + 2.38%,
12/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>837,857</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>643</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B2, LIBOR + 2.38%,
12/31/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>628,393</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan D, LIBOR, 6/30/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>975,833</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,692</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CCM Merger, Inc., Loan B, LIBOR + 2.00%, 7/13/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,649,478</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,107</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cinemark, Inc., Loan B, LIBOR + 1.75%, 10/05/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,080,323</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>998</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Discovery Channel, Loan B, LIBOR + 2.00%,
5/14/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>983,161</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,980</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Greektown Holdings LLC, Loan B,<BR>
 LIBOR + 2.75%, 12/03/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,900,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Green Valley Ranch Gaming LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>479</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien Loan, LIBOR + 2.00%,
2/16/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>467,335</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien Loan, LIBOR + 3.25%,
8/16/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>947,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>490</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Hit Entertainment Ltd., LIBOR + 2.00%,
3/20/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>479,593</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Las Vegas Sands LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed Draw Loan, LIBOR + 0.75%,
5/23/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>678,731</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,294</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 1.75%, 5/23/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,224,539</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Metro-Goldwyn-Mayer Studios, Inc., Loan B,<BR>
 LIBOR + 3.25%, 4/08/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,713,634</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>978</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Penn National Gaming, Inc., Loan B,<BR>
 LIBOR + 1.75%, 10/03/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>969,818</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,728</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Travelport LLC, LIBOR + 7.00%, 3/27/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,584,752</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Travelport, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter of Credit, LIBOR + 2.25%,
8/23/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,354</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>145</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR + 2.25%, 8/23/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>141,309</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wembley, Inc., First Lien Loan, LIBOR + 2.50%,
8/23/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>478,872</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>413</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Yellowstone Mountain Club, LIBOR + 2.38%,
9/30/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>387,781</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,158,063</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  color=#005695 SIZE=1 FACE=ARIAL><B>Financial Institutions&#151;2.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>984</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Advantage Sales &amp; Marketing, Inc., LIBOR + 2.00%,
 3/29/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>946,694</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,489</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Alix Partners, LIBOR + 2.00%, 10/12/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,460,836</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>990</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bankruptcy Management, LIBOR + 2.75%, 7/28/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>962,775</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>925</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Billing Services Group, LIBOR + 2.50%, 5/11/12
(EUR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,339,908</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>929</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BNY Convergex Group LLC, First Lien Loan,<BR>
 LIBOR + 3.00%, 10/02/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>913,482</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>432</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CCC Information Services Group, Inc., Loan B,<BR>
 LIBOR + 2.50%, 2/10/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>426,637</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,238</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Charter Mac, Loan B, LIBOR + 2.50%, 8/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,138,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>743</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Conseco, Inc., LIBOR + 2.00%, 10/10/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>707,544</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Enclave, Loan B, LIBOR, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,842,680</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 color=#005695 FACE=ARIAL><B>Financial
 Institutions&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>GS Holdings Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>52</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed Draw Loan, LIBOR + 1.75%,
5/12/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,662</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR + 1.75%, 5/13/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>77,718</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>541</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR + 1.75%, 5/12/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>526,878</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>J.G. Wentworth LLC, First Lien Loan,<BR>
 LIBOR + 2.25%, 4/04/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,805,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>385</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Jostens, Inc., Loan C, LIBOR + 2.00%, 12/21/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>381,351</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>998</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lucite Intl. Finance Plc, LIBOR + 9.00%, 7/07/13
(EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,394,644</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>801</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Professional Service, Inc., Loan B,<BR>
 LIBOR + 2.75%, 10/31/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>785,380</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>496</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Renfro Corp., Delayed Draw Loan,<BR>
 LIBOR + 3.25%, 10/05/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>485,994</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,111</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sedgewick Claims Management Services, Inc.,<BR>
 Loan B, LIBOR + 2.25%, 1/31/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,091,258</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>741</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Vertellus, First Lien Loan, LIBOR + 3.25%,
3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>720,258</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,058,199</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  color=#005695 SIZE=1 FACE=ARIAL><B>Health Care&#151;2.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cardinal Health, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,995</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.25%, 4/15/14
(EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,870</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Unfunded, 2.25%, 4/10/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,346,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>859</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CCS Medical, Loan B, LIBOR + 3.25%, 9/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>834,993</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Community Health Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>340</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed Draw Loan, Unfunded, 0.50%,
7/25/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>332,047</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,160</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.25%, 7/25/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,033,938</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Emdeon Business Services, LLC, Second Lien Loan,<BR>
 LIBOR, 5/16/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>247,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>663</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Eye Care Centers of America, Inc.,<BR>
 LIBOR + 2.50%, 2/16/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>653,545</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,990</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Health Management Associates, Inc.,<BR>
 PRIME + 0.75%, 2/28/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,897,133</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>859</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>HealthSouth Corp., Loan B, LIBOR + 2.50%,
3/10/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>838,432</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>491</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>National Renal Institutes, Inc., Loan B,<BR>
 LIBOR + 2.25%, 3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>477,163</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Quintiles Transnational Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>985</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien Loan, LIBOR + 2.00%,
3/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>964,993</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien Loan, LIBOR + 4.00%,
3/31/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>247,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Select Medical Corp., Loan B, LIBOR +
2.00%, 2/24/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>931,531</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>980</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Vanguard Health Holding Co. II LLC,<BR>
 LIBOR + 2.25%, 9/23/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>957,508</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Warner Chilcott Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,722</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.00%, 1/18/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,692,909</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>515</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C, LIBOR + 2.00%, 1/18/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>506,661</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Health Care</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,563,348</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 color=#005695 FACE=ARIAL><B>Industrials&#151;2.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>987</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Acosta, Inc., LIBOR + 2.25%, 7/28/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>964,047</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>983</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bolthouse Farms, Inc., First Lien Loan,<BR>
 LIBOR + 2.25%, 12/16/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>966,534</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>998</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bucyrus International, Inc., LIBOR + 1.50%,
5/04/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>985,031</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Buhrmann U.S., Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan D, LIBOR + 2.00%, 12/31/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>490,047</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,246</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan D1, LIBOR + 2.00%,
12/23/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,218,149</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,725</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Drummond Co., Inc., LIBOR + 1.25%, 2/14/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,690,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,496</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Harland Clarke Holdings Corp., Loan B,<BR>
 LIBOR + 2.50%, 6/30/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,406,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Jason, Inc., LIBOR + 2.50%, 4/30/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,451,363</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Kion Group,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.25%, 3/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>245,764</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C, LIBOR + 2.50%, 3/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>247,014</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lincoln Industrial Corp., Second Lien Loan,<BR>
 LIBOR + 5.75%, 1/12/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,477,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Mivisa Envases S.A.U. (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>826</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B1, LIBOR, 5/03/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,158,797</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>174</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B2, LIBOR, 5/03/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>243,708</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,469</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Oshkosh Truck Corp., Loan B, LIBOR + 1.75%,
12/06/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,425,804</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>



<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="25%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>

 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT FACE=ARIAL SIZE=1>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ><FONT  SIZE=1 FACE=ARIAL>36</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 color=#005695 FACE=ARIAL>Portfolio of Investments </font><FONT  color=#005695 size=2 FACE=ARIAL>as of October 31, 2007
</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 color=#005695 FACE=ARIAL><B>BlackRock
 Limited Duration Income Trust (BLW) (continued)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages shown are based on
Net Assets)</B> </FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>Industrials&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Standard Steel LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>411</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.50%, 6/30/12 </FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>403,229</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>83</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed Draw Loan, Unfunded, 2.50%,
6/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>81,258</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,210</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Thermo Fluids, Inc., Loan B, LIBOR + 3.50%,
6/27/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,053,089</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trimas Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter of Credit, LIBOR + 2.25%,
8/02/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>91,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>402</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.75%, 8/02/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>394,144</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>468</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>United Rentals NA, Inc., LIBOR + 2.00%, 2/14/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>464,919</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Industrials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,459,247</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  color=#005695 SIZE=1 FACE=ARIAL><B>Media&#151;11.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Affinion Group, Inc., LIBOR + 6.25%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>485,834</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>988</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Atlantic Broadband Finance LLC, Loan B2,<BR>
 LIBOR + 2.25%, 8/10/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>971,697</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Audio Visual Services Corp., Second Lien Loan,<BR>
 LIBOR + 5.50%, 2/28/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>950,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,940</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cablevision Systems Corp., LIBOR + 1.75%,
3/29/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,842,485</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,468</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cequel Communications II LLC, First Lien Loan,<BR>
 LIBOR + 2.00%, 4/04/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,258,115</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Charter Communications Holdings LLC,<BR>
 LIBOR + 2.00%, 3/06/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,760,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>714</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CMP Susquehanna Corp., Loan B,<BR>
 LIBOR + 2.00%, 5/05/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>689,569</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dex Media West LLC/Dex Media Finance Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B1, LIBOR + 1.50%, 3/09/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>617,292</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,486</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B2, LIBOR + 1.50%, 3/09/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,454,977</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,311</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>DirecTV Holdings LLC, Loan B, LIBOR + 1.50%,
4/13/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,301,047</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Gatehouse Media Operating, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>592</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed Draw Loan, LIBOR + 2.00%,
8/28/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>548,031</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.00%, 8/28/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>926,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Gray Television, Inc., Delayed Draw Loan,<BR>
 LIBOR + 1.50%, 12/31/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,924,166</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,978</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Idearc, Inc., Loan B, LIBOR + 2.00%, 11/17/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,932,528</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>499</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Knology, First Lien Loan, LIBOR + 2.25%, 6/30/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>481,294</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,985</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Mediacom Broadband LLC, Loan D1,<BR>
 LIBOR + 1.75%, 1/31/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,919,070</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,960</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Mediacom Illinois LLC, Loan C, LIBOR + 1.75%,
1/31/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,896,481</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,907</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Mission Broadcasting, Inc., Loan B,<BR>
 LIBOR + 1.75%, 10/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,835,485</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>357</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Multicultural Radio Broadcasting, Inc.,<BR>
 LIBOR + 2.75%, 12/18/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>349,860</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>National CineMedia, Inc., Loan B, LIBOR + 1.75%,
2/13/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>964,219</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>New Wave Communications,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR + 2.75%, 6/20/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>68,950</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>938</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan A, LIBOR + 3.50%, 6/30/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>924,053</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>235</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan Z, LIBOR + 3.50%, 6/20/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>164,495</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBD, 6/20/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>62,055</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,806</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nexstar Finance, Inc., Loan B, LIBOR + 1.75%,
10/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,738,291</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,465</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nielsen Finance LLC/Nielsen Finance Co., Loan B,<BR>
 LIBOR + 2.00%, 8/09/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,368,754</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>NTL Investment Holding Ltd.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>446</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B1, LIBOR + 2.13%, 9/03/12
(GBP)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>897,657</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>522</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B2, TBD, 9/03/12 (GBP)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,049,219</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>484</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B4, LIBOR + 2.00%, 9/03/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>468,552</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C, TBD, 3/03/13 (GBP)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,038,001</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Penton Media, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,119</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien Loan, LIBOR + 2.25%,
2/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,059,209</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien Loan, LIBOR + 5.00%,
2/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>932,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ProSieben (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B1, LIBOR + 2.375%,
3/04/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>676,291</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C1, LIBOR + 2.625%,
6/30/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>679,913</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan D1, LIBOR + 3.75%, 9/02/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,329,044</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Puerto Rico Cable Acquisition Co., Second Lien Loan,<BR>
 LIBOR + 6.25%, 1/26/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>708,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>998</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>RCN Corp., Loan B, LIBOR + 2.25%, 5/25/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>965,705</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,838</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>RH Donnelley, Inc., Loan D2, LIBOR + 1.50%,
6/30/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,792,642</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Univision Communications, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>201</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed Draw Loan, Unfunded, 1.00%,
9/29/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>190,541</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,799</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.25%, 9/29/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,487,583</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien Loan, LIBOR,
3/29/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>989,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>UPC Broadband Holding BV,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,413</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan M1, LIBOR, 12/31/14 (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,977,718</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan N1, LIBOR + 1.75%,
12/31/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,380,783</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,922</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>WMG Acquisition Corp., LIBOR + 2.00%, 2/28/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,872,243</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Yell Group Plc,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.00%, 2/10/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>984,063</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 2.00%, 2/27/13
(EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,137,176</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Media</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>76,051,963</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  color=#005695 SIZE=1 FACE=ARIAL><B>Real Estate&#151;0.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Georgian Towers, Loan B5, LIBOR, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,853,269</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>488</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Masonite Intl. Corp., LIBOR + 2.00% , 4/06/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>456,891</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Realogy Corp., LIBOR + 3.00%, 10/10/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,388,333</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Real Estate</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,698,493</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 color=#005695 FACE=ARIAL><B>Technology&#151;2.9%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>737</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Affiliated Computer Services, Inc., Loan B,<BR>
 LIBOR + 2.00%, 3/20/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>726,397</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>973</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ClientLogic Corp., LIBOR + 2.50%, 1/30/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>919,920</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>995</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CoCreate Software, Inc., LIBOR + 3.00%, 5/17/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>965,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>371</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Coinstar, Inc., LIBOR + 2.25%, 7/07/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>369,173</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Electrical Components Intl. Holdings Co., Second Lien
 Loan,<BR>
 LIBOR + 6.50%, 5/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>440,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Data Corp., Loan B1, LIBOR + 2.75% 9/24/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,683,579</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Flextronics Intl. Ltd., Loan A, LIBOR, 10/12/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,970,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Intergraph Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>419</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien Loan, LIBOR + 2.00%,
5/29/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>408,747</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Second Lien Loan, LIBOR + 6.00%,
11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>744,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>989</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Marvell Technology Group Ltd., Loan B,<BR>
 LIBOR + 2.50%, 11/09/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>967,114</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>694</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>RedPrairie Corp., Loan B, PRIME + 2.00%, 7/20/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>676,628</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>San Juan Cable, LIBOR + 6.50%, 10/31/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,434,845</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,945</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sensata Technologies BV, Loan B,<BR>
 LIBOR + 1.75%, 4/27/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,889,922</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,444</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>SunGard Data Systems, Inc., Loan B,<BR>
 LIBOR + 2.00%, 2/28/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,408,204</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>945</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Verifone, Inc., LIBOR + 1.75%, 10/31/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>937,913</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>996</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wire Rope Corp., LIBOR + 2.25%, 2/08/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>970,961</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Technology</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,512,928</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  color=#005695 SIZE=1 FACE=ARIAL><B>Telecommunications&#151;3.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,990</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American Cellular Corp., Loan B, LIBOR + 2.00%,
3/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,981,294</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American Cellular Wireless LLC, Delayed Draw Loan,<BR>
 Unfunded, 0.75%, 3/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,242,187</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cellular South, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed Draw Loan, Unfunded, 1.00%,
5/29/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>490,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,496</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, PRIME + 0.75%, 5/29/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,466,325</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,481</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Consolidated Communications, Inc., Loan D,<BR>
 LIBOR + 1.75%, 10/14/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,471,066</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Country Road Communications LLC, Second Lien Loan,<BR>
 LIBOR + 7.75%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>492,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Eircom Group Plc (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B, LIBOR + 1.88%, 9/30/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,835,813</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C, LIBOR + 2.13%, 9/30/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,851,831</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Insight Midwest Holdings LLC, Loan B, Unfunded,<BR>
 1.75%, 4/06/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,912,224</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Iowa Telecommunications Services, Inc., Loan B,<BR>
 LIBOR + 1.75%, 11/23/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,970,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>NG Wireless,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Delayed Draw Loan, Unfunded, 0.50%,
7/31/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>138,269</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>610</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>First Lien Loan, PRIME + 2.75%,
7/31/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>600,481</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>NTELOS, Inc., First Lien Loan, LIBOR + 2.25%,
8/24/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,679,861</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,970</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>West Corp., Loan B2, LIBOR + 2.38%, 10/24/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,909,004</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="25%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>

 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT FACE=ARIAL SIZE=1>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>37</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 color=#005695 FACE=ARIAL>Portfolio of Investments</font><FONT  size=2 color=#005695 FACE=ARIAL> as of October 31, 2007</FONT>
</P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 color=#005695 FACE=ARIAL><B>BlackRock
 Limited Duration Income Trust (BLW) (concluded)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 color=#005695 FACE=ARIAL><B>(Percentages
 shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wind Acquisition Finance S.A. (EUR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>693</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan A1, LIBOR + 2.00%, 5/25/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>990,929</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>139</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan A2, LIBOR + 2.00%,
12/31/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>199,284</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,231,068</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Transportation&#151;2.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dockwise Transport N.V.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,489</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan B1, LIBOR + 2.38%,
11/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,447,470</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>489</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C, LIBOR + 2.88%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>474,401</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loan C2, LIBOR + 2.88%,
11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>975,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Hawker Beechcraft Acquisition Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>78</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Letter of Credit, Unfunded, 0.50%,
3/26/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>76,076</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>917</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>LIBOR + 2.00%, 3/26/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>894,585</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>RailAmerica, Inc., Loan B, LIBOR + 2.25%,
8/14/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,719,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>644</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sirva Worldwide, Inc., LIBOR + 7.25%, 12/01/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>450,378</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,977</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Swift Transportation Co., Inc., LIBOR + 3.00%,
5/10/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,488,881</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>U.S. Airways, Loan B, LIBOR + 2.50%, 3/24/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,863,392</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,239</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>United Air Lines, Inc., Loan B, LIBOR + 2.00%,
2/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,142,358</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Transportation</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,532,541</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Bank Loans</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>386,247,615</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Mortgage Pass-Through
Securities&#151;21.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal National Mortgage Assoc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>22</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%, 12/01/28</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,448</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,564</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>5.50%, 4/01/29-11/01/33</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,467,048</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.25%, 1/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,027,939</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>121,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>TBA, 5.00%, 11/19/22</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>119,109,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Mortgage Pass-Through Securities</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>145,625,810</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Interest Only Asset-Backed
 Securities&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sterling Coofs Trust,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,937</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 1, 2.365%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>973,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>18,114</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. 2, 2.081%, 3/30/30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>486,826</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Interest Only Asset-Backed Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,460,301</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>U.S. Government and Agency
 Securities&#151;4.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>U.S. Treasury Notes,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>20,425</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>3.375%, 12/15/08-9/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,273,083</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>6,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>4,8</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>3.875%, 5/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,992,032</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>1,815</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>4.25%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,801,388</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,066,503</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Foreign Government Bonds&#151;2.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>238</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bolivarian Republic of Venezuela, %, 12/18/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>238,029</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,871</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Peru Government International Bond, 8.375%,
5/03/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,735,602</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Republic of Colombia, 9.75%, 4/23/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,325,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>5,093</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Turkey, 7.00%, 9/26/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,328,806</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Foreign Government Bonds</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,627,437</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Units<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>Warrants&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>2</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>9</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reliant Resources, Inc., expires 8/25/08, strike price<BR>
 $0.001, 1 share for 1 warrant&#146;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>41,249</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B><BR>Shares</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>Common
 Stocks&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>7,579</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1,9</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Critical Care Systems Intl., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,371</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>Preferred
 Stock&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>125,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Superior Essex Holding Corp.,
 Ser. A, 9.50%,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>77,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT  SIZE=1 FACE=ARIAL><B>Total Long-Term Investments<BR>
 (cost $930,394,349)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>913,265,094</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B><BR>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="5" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>SHORT-TERM
 INVESTMENT&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>U.S. Government
 and Agency Discount Notes&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>3,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>10</FONT></SUP></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal Home Loan Bank Disc. Notes, 4.351%,<BR>
 11/01/07 (cost $3,200,000)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,200,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Total
 investments&#151;134.2% (cost $933,594,349<SUP>11</SUP>)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>916,465,094</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL><B>Liabilities in
 excess of other assets&#151;(34.2)%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(233,355,673</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Net Assets&#151;100%
 $</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>$</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>683,109,421</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
</TR>
<TR style="font-size:3 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</tr>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Security is fair valued.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Security is not registered under
 the Securities Act of 1933. These securities may be resold in transactions in
 accordance with Rule 144A under that Act, to qualified institutional buyers.
 As of October 31, 2007, the Trust held 9.8% of its net assets, with a current
 market value of $66,717,528, in securities restricted as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>3</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Variable rate security. Rate
 shown is interest rate as of October 31, 2007.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>4</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Entire or partial principal
 amount pledged as collateral for reverse repurchase agreements. See Note 4 in
 the Notes to Financial Statements for details of open reverse repurchase
 agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>5</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Illiquid security. As of October
 31, 2007, the Trust held 0.6% of its net assets, with a current market value
 of $4,365,591, in these securities.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>6</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Represents a step up bond; the
 interest rate shown reflects the effective yield at the time of purchase.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>7</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Issuer is in default and/or
 bankruptcy.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>8</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Security, or a portion thereof,
 pledged as collateral with a value of $77,630 on 81 long U.S. Treasury Note
 futures contracts expiring December 2007. The notional value of such contracts
 on October 31, 2007 was $8,694,844, with an unrealized gain of $45,523.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>9</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Non-income producing security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>10</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Rate shown is the yield to
 maturity as of the date of purchase.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="Margin-top:-3px"><SUP><FONT SIZE=1 FACE=ARIAL>11</FONT></SUP></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Cost for federal income tax
 purposes is $933,721,317. The net unrealized depreciation on a tax basis is
 $17,256,223, consisting of $9,391,420 gross unrealized appreciation and
 $26,647,643 gross unrealized depreciation.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>For Trust
compliance purposes, the Trust&#146;s sector and industry classifications refer to
any one or more of the Standard Industry Codes as defined by the SEC. This
definition may not apply for purposes of this report, which may combine sector
and industry sub-classifications for reporting ease.</FONT></P>



<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="25%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>

 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT FACE=ARIAL SIZE=1>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ><FONT  SIZE=1 FACE=ARIAL>38</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 color=#005695 FACE=ARIAL>Portfolio of Investments</font><FONT  size=2 color=#005695 FACE=ARIAL> as of October 31, 2007</FONT>
</P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=2 color=#005695 FACE=ARIAL><B>BlackRock
 Preferred and Equity Advantage Trust (BTZ)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 color=#005695 FACE=ARIAL><B>(Percentages
 shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>LONG-TERM INVESTMENTS&#151;144.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>Common
 Stocks&#151;40.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>Aerospace &amp;
 Defense&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>L-3 Communications Holdings, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>208,316</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lockheed Martin Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,114,132</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Northrop Grumman Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,369,886</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,692,334</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Automotive&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>264,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ford Motor Co.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,346,115</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>General Motors Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>74,461</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Genuine Parts Co.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>549,584</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>PACCAR, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>211,128</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Automotive</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,181,288</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Basic Materials&#151;1.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Allegheny Technologies, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,380,561</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BASF AG (ADR)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>333,408</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>72,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dow Chemical Co. (The)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,251,888</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>71,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>E.I. du Pont de Nemours &amp; Co.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,539,965</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>74,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Intl. Paper Co.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,742,432</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MeadWestvaco Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,140,396</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Monsanto Co.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,050,230</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nucor Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,860,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>PPG Industries, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,023,938</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Weyerhauser Co.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,070,331</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,393,749</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Building &amp; Development&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>D.R. Horton, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>118,017</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>KB Home</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>71,864</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Masco Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>385,280</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>575,161</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Consumer Products&#151;5.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Altria Group, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,789,783</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>4,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Amazon.com, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>427,920</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>76,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Amgen, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,427,982</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Anheuser-Busch Cos., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,307,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Black &amp; Decker Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>926,073</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Clorox Co.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>519,331</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>14,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Coach, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>522,808</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>68,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Coca-Cola Co. (The)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,205,856</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,506</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CVS Caremark Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,067,866</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Eastman Kodak Co.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>756,624</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Fortune Brands, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,826,186</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Gap, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>126,630</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>112,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Home Depot, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,544,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>JCPenney Co., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>388,056</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>10,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Kohl&#146;s Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>582,682</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,446</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Kraft Foods, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,819,041</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Loews Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>844,348</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ltd. Brands, Inc., Class A</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>277,326</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Macy&#146;s, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,248</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Newell Rubbermaid, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>507,384</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nordstrom, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55,216</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OfficeMax, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,475</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>PepsiCo, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,445,316</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>128,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Procter &amp; Gamble Co.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,898,560</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reynolds American, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,269,271</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sara Lee Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,317,254</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>10,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sears Holdings Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,361,379</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>75,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Starbucks Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,025,012</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Universal Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>48,740</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>UST, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,831,292</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>VF Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>409,511</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>115,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wal-Mart Stores, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,203,671</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Walgreen Co.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,502,735</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63,335,051</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL color=#005695><B>Energy&#151;5.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American Electric Power, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>650,835</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Anadarko Petroleum Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>914,810</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Apache Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,152,291</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BP Plc (ADR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>226,171</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Baker Hughes, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>927,904</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Chesapeake Energy Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>623,784</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Chevron Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,187,604</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ConocoPhillips</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,749,264</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Consolidated Edison, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,681,113</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>DTE Energy Co.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,368,960</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Devon Energy Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,391,660</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>78,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Duke Energy Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,502,928</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Exelon Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,887,384</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>155,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Exxon Mobil Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,341,241</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Great Plains Energy, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>731,080</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Hess Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,002,540</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>13,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>National Oilwell Varco, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,010,712</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nicor, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,905</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>NiSource, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>490,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sasol Ltd. (ADR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,068,060</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Schlumberger Ltd.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,452,878</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,918</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Smith Intl., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,297,084</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Southern Co.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,638,702</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Spectra Energy Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>633,912</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>15,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Transocean, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,802,487</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Valero Energy Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,493,116</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>13,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Weatherford Intl. Ltd.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>843,830</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Williams Cos., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>83,927</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>XTO Energy, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>982,424</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Energy</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>58,202,406</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Entertainment &amp; Leisure&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Brunswick Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>278,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Carnival Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,530,562</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Regal Entertainment Group</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,128,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,937,937</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL color=#005695><B>Financial Institutions&#151;7.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American Capital Strategies Ltd.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>507,897</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>47,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>2</FONT></SUP></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American Intl. Group, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,010,824</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Arthur J. Gallagher &amp; Co.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>486,963</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>71,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BB&amp;T Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,639,658</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>205,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bank of America Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,916,712</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37,452</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bank of New York Mellon Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,829,530</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CME Group, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,199,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,600</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Charles Schwab Corp. (The)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>734,384</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Cigna Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>881,832</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>246,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Citigroup, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,319,970</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Comerica, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,577,784</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Discover Financial Services</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>728,575</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT style="Margin-top:3px"><FONT SIZE=1  FACE=ARIAL>84,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="Margin-top:-3px" ><SUP><FONT SIZE=1 FACE=ARIAL>1</FONT></SUP></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>E*Trade Financial Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>945,786</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Fannie Mae</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,133,296</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Franklin Resources, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>700,272</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Freddie Mac</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,196,067</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Goldman Sachs Group, Inc. (The)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,900,496</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>HSBC Holdings Plc (ADR)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,060,064</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Hartford Financial Services Group, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,076,442</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>JPMorgan Chase &amp; Co.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,009,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>KeyCorp</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>378,385</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Legg Mason, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,007,148</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lehman Brothers Holdings, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,684,844</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lincoln National Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,544,696</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>259,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MCG Capital Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,636,996</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Marsh &amp; McLennan Cos., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,421,361</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>MetLife, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,969,110</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>National City Corp.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>472,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Progressive Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,011,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Prudential Financial, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,479,816</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="25%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>

 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT FACE=ARIAL SIZE=1>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>39</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="40%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>

<TR>
<TD VALIGN=TOP NOWRAP>
<P><FONT FACE="ARIAL" SIZE="1">&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP NOWRAP>
<P><FONT FACE="ARIAL" SIZE="1">&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT><FONT SIZE=2 COLOR="#005695" FACE=ARIAL> as of October 31,
2007</FONT></P>
</TD>
<TD VALIGN=TOP nowrap>
<P><FONT FACE="ARIAL" SIZE="2" COLOR="#005695"><B>BlackRock Preferred and Equity Advantage
Trust (BTZ)<BR>(continued)</B> </FONT> <FONT FACE="ARIAL" COLOR="#005695"><B><BR></B> </FONT> <FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages
shown are based on Net Assets)</B> </FONT> </P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Financial
 Institutions&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Regions Financial Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>648,168</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Safeco Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,105,890</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Travelers Cos., Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,352,239</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>U.S. Bancorp</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,490,316</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Wachovia Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,967,877</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>48,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Washington Mutual, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,354,968</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>81,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Wells Fargo &amp; Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,765,013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Western Union Co. (The)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>566,428</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>XL Capital Ltd., Class A Bermuda</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>640,355</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>83,353,337</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Health
 Care&#151;4.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>52,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Abbott Laboratories</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,851,164</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Allergan, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>804,202</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Biogen Idec, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>714,624</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32,600 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Boston Scientific Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>452,162</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>153,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Bristol-Myers Squibb Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,594,468</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Celgene Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>871,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,100 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Charles River Laboratories Intl., Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,905,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Covidien Ltd. Bermuda</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,352,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Eli Lilly &amp; Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,514,335</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,100 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Genzyme Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>767,297</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,200 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Gilead Sciences, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,441,128</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>106,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Johnson &amp; Johnson</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,947,122</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>McKesson Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>753,540</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,800 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Medco Health Solutions, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,019,304</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>107,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Merck &amp; Co., Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,262,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>367,900 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Pfizer, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,054,019</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Quest Diagnostics, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>590,298</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Stryker Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>816,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,300 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Thermo Fisher Scientific, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>958,603</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>UnitedHealth Group, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,329,710</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,700 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>WellPoint, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,877,751</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,500 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Zimmer Holdings, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,355,055</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Health Care</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>52,233,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Industrials&#151;3.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>43,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>3M Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,756,660</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Caterpillar, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,342,528</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cummins, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>419,860</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Danaher Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>788,164</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Emerson Electric Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,373,058</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Fluor Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,291,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>383,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>General Electric Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,780,744</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>38,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Illinois Tool Works, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,175,880</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Johnson Controls, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>996,816</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Leggett &amp; Platt, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>394,429</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Precision Castparts Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>793,993</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Rockwell Automation, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,095,192</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Tyco Intl. Ltd.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>135,861</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Industrials</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,344,185</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Media&#151;1.1%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>CBS Corp., Class B</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,155,370</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,987</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Citadel Broadcasting Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,144</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>129,450 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Comcast Corp., Class A</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,724,923</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55,700 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>DIRECTV Group, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,474,936</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>New York Times Co. (The)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>670,908</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>77,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>News Corp., Class A</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,675,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,200 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Viacom, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,164,378</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Walt Disney Co. (The)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,247,487</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Media</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,126,237</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Real
 Estate&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Boston Properties, Inc. (REIT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>433,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Equity Residential (REIT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>413,622</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>First Industrial Realty Trust, Inc. (REIT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>635,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Hospitality Properties Trust (REIT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,039,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="67%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Real
 Estate&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Plum Creek Timber Co., Inc. (REIT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>268,020</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Starwood Hotels &amp; Resorts Worldwide, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,251,656</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Real Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,041,758</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Technology&#151;6.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,700 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Adobe Systems, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>943,630</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,900 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Agilent Technologies, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>475,365</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Analog Devices, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,990,870</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,300 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Apple, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,945,435</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>52,300 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>AutoDesk, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,557,470</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Broadcom Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>585,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,200 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Cognizant Technology Solutions Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,127,712</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>82,700 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Dell, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,530,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>EMC Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,777,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>92,800 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>eBay, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,350,080</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,500 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Electronic Arts, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,008,480</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,300 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Google, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,161,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Hewlett-Packard Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,953,504</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>182,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Intel Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,920,010</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Intl. Business Machines Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,554,640</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,100 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Lam Research Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,962,820</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>69,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Linear Technology Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,304,796</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,500 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>MEMC Electronic Materials, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>549,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>287,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Microsoft Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,564,470</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94,050 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Nvidia Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,327,489</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>131,500 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Oracle Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,915,355</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Paychex, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,168,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Pitney Bowes, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>688,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,900 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>SanDisk Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,993,560</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>115,800 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Sanmina-SCI Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>255,918</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>252,400 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Sun Microsystems, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,441,204</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,900 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Symantec Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>655,422</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Tyco Electronics Ltd.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,159,275</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>36,300 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Xerox Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>633,072</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Xilinx, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>104,920</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Yahoo!, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,306,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Technology</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>68,912,837</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Telecommunications&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>175,987</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>AT&amp;T, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,354,497</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,610</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Chunghwa Telecom Co. Ltd. (ADR)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>779,712</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>209,600 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cisco Systems, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,929,376</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Citizens Communications Co.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>842,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>52,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Corning, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,274,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,200 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Juniper Networks, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>619,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>123,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Qualcomm, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,294,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>98,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Verizon Communications, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,533,288</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,412</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Windstream Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,256,391</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,883,126</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Transportation&#151;0.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>General Maritime Corp.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>450,880</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Nordic American Tanker Shipping</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,998,145</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ship Finance Intl. Ltd.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,401,226</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>United Parcel Service, Inc., Class B</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,846,290</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,696,541</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Common Stocks</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>447,909,179</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Preferred
 Stocks&#151;18.9%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD COLSPAN="3" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;2.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Alabama Power Co., 6.50%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,525,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Entergy Louisiana LLC, 6.95%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,156,478</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>785,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Interstate Power &amp; Light Co., Ser. B, 8.375%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,672,695</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Energy</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,354,173</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>

<TR>
 <TD VALIGN=TOP COLSPAN=4>
 <P><FONT SIZE=1 FACE=ARIAL>See Notes
to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>40</FONT></P>
 </TD>
 </TR>
</table>






<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="40%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT FACE="ARIAL" SIZE="1">&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT FACE="ARIAL" SIZE="1">&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments</FONT> <FONT SIZE=2 COLOR="#005695" FACE=ARIAL>as of October 31,
2007</FONT></P>
</TD>
<TD VALIGN=TOP  nowrap>
<P><FONT FACE="ARIAL" SIZE="2" COLOR="#005695"><B>BlackRock Preferred and Equity Advantage
Trust (BTZ)<BR>(continued)</B> </FONT> <FONT FACE="ARIAL" COLOR="#005695"><B><BR></B> </FONT> <FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages
shown are based on Net Assets)</B> </FONT> </P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>Financial
Institutions&#151;14.7%</B> </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ACE Ltd.,
 Ser. C, 7.80%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,237,520</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>400,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Aegon N.V.,
 6.50%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,137,520</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Arch
 Capital Group Ltd.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>8.00%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,500,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>160,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. B,
 7.875%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,947,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>655,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Aspen
 Insurance Holdings Ltd., 7.401%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,621,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>180,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Axis
 Capital Holdings Ltd., Ser. B, 7.50%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,331,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>320,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bank of
 America Corp., 6.625%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,210,016</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Centaur
 Funding Corp., Ser. B, 9.08%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,312,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CoBank ACB,
 7.00%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,478,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>389,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Endurance
 Specialty Holdings Ltd., 7.75%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,907,363</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>316,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Federal
 Home Loan Mortgage Corp., Ser. Y, 6.55%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,137,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ING Groep
 N.V., 6.125%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,387,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>265,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>PartnerRE
 Ltd., Ser. C, 6.75%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,241,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>285,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>RenaissanceRe
 Holdings Ltd., Ser. D, 6.60%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,093,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Roslyn Real
 Estate Asset Corp., Ser. D, 8.881%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,026,562</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>67,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Royal Bank
 of Scotland Group Plc, Ser. L, 5.75%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,414,560</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Santander
 Finance Preferred S.A. Unipersonal,</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>522,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.50%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,267,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>670,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.05%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,703,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>277,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>XL Capital
 Ltd., Ser. B, 7.625%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,964,869</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Financial Institutions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>162,919,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>Real Estate&#151;1.5%</B> </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>CBL &amp;
 Associates Properties, Inc., Ser. C, 7.75% (REIT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,206,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>iStar
 Financial, Inc., Ser. I, 7.50% (REIT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,182,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>372,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Public
 Storage, Inc., Ser. M, 6.625% (REIT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,229,941</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Real
 Estate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,618,441</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Preferred Stocks</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>209,892,583</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="64%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=bottom>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B><BR>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Trust Preferred
Stocks&#151;71.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Building &amp;
Development&#151;0.3%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,160</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>C8 Capital
 SPV Ltd., 6.64% (British Virgin Islands)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,080,905</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,500 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Enterprise
 Products Operating LP, 8.375%, 8/01/66</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,684,248</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nexen,
 Inc., 7.35%, 11/01/43</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,970,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,900 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>PPL Capital
 Funding, Inc., Ser. A, 6.70%, 3/30/67</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,693,022</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>288,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>PPL Energy
 Supply LLC, 7.00%, 7/15/46</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,209,014</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,575 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Puget Sound
 Energy, Inc., Ser. A, 6.974%, 6/01/67</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,482,497</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,325 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Trans-Canada
 Pipelines Ltd., 6.35%, 5/15/67 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,086,945</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Energy</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>29,125,726</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Financial
Institutions&#151;64.8%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,375 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Abbey
 National Capital Trust I, 8.963%</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,897,982</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ace Capital
 Trust II, 9.70%, 4/01/30</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,717,840</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Allstate
 Corp.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,725 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.125%,
 5/15/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,531,916</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,675 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.50%,
 5/15/57</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,350,918</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,150</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>American
 Intl. Group, Inc., Ser. A1, 6.25%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,376,268</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,273</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AON Corp.,
 8.205%, 1/01/27</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,846,561</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Astoria
 Capital Trust I, Ser. B, 9.75%, 11/01/29</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,612,955</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AXA S.A.
 (France)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,000 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.463%</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,807,178</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,225 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.379%</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,937,188</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Barclays
 Bank Plc (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.86%</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,704,647</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,275 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.434%</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,531,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,300 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BB&amp;T
 Capital Trust IV, 6.82%, 6/12/57</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,904,311</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>170,731</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Berkley
 W.R. Capital Trust II, 6.75%, 7/26/45</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,996,181</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,200, </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>2,3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BNP
 Paribas, 7.195% (France)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,075,834</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,685 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BOI Capital
 Funding No. 2 LP, 5.571% (Ireland)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,145,521</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="64%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Amount</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>(000)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Financial
Institutions&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,000 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5,6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BOI Capital
 Funding No. 3, 6.107% (Ireland)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,601,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,700 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>BTA Finance
 Luxembourg SA, 8.25% (Kazakhstan)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,736,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>C10 Capital
 SPV Ltd., 6.722% (British Virgin Islands)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,818,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Capital One
 Capital III, 7.686%, 8/15/36</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,846,285</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,300 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Chubb
 Corp., 6.375%, 3/29/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,061,029</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Citizens
 Funding Trust I, 7.50%, 9/15/66</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,882,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,000 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Commonwealth
 Bank of Australia, 6.024% (Australia)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,269,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,970 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Credit
 Agricole S.A., 6.637% (France)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,581,905</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,000 </FONT></P>
</TD>
<TD VALIGN=top>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Credit
 Suisse Ltd., 5.86% (Guernsey)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,520,927</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,200 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dresdner
 Funding Trust I, 8.151%, 6/30/31</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,877,347</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,025 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Everest
 Reinsurance Holdings, Inc., 6.60%, 5/15/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,244,133</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,025 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Goldman
 Sachs Capital II, 5.793%</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,888,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,000 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>HBOS Plc,
 6.657% (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,216,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>7,000 </FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL ><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>HSBC
 Capital Funding LP, Ser. 2, 10.176%<BR>
 (Jersey Channel Islands)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,205,357</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,250 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Huntington
 Capital III, 6.65%, 5/15/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,049,846</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,867 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>HVB Funding
 Trust I, 8.741%, 6/30/31</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,485,782</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,100 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5,6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ICICI Bank
 Ltd., 7.25% (India)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,306,103</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,000 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ING Groep
 N.V., 5.775% (Netherlands)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,658,830</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,875 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>JPMorgan
 Chase Capital XXI, Ser. U, 5.844%, 2/02/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,422,430</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,945 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>JPMorgan
 Chase Capital XXIII, 6.558%, 5/15/47</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,289,296</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>5,000 </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Kazkommerts
 Finance 2 BV, 9.25% (Netherlands)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,548,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>785,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>KeyCorp
 Capital IX, 6.75%, 12/15/66</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,494,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>5,000 </FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3,5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lehman
 Brothers Holdings Capital Trust V,<BR>
 Ser. MTN, 5.857%</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,666,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,600 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Liberty
 Mutual Group, Inc., Ser. B, 7.00%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,903,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,225 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lincoln
 National Corp., 6.05%, 4/20/67</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,049,244</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,000 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Lloyds TSB
 Group Plc, 6.267% (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,026,547</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,000 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Mangrove
 Bay Pass-Through Trust, 6.102%, 7/15/33</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,334,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>21,000 </FONT></P>
</TD>
<TD VALIGN=top BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Mizuho
 Capital Investment 1 Ltd., 6.686%<BR>
 (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,899,180</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>298,100</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>National
 City Capital Trust II, 6.625%, 11/15/36</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,390,519</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,025</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Nationwide
 Financial Services, 6.75%, 5/15/37</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,719,721</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,675 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Progressive
 Corp., 6.70%, 6/15/37, 6/15/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,306,743</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,105 </FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>QBE Capital
 Funding II LP, 6.797%<BR>
 (Jersey Channel Islands)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,948,676</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,780 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>RBS Capital
 Trust, Ser. B, 6.80% (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,604,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>16,825 </FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;MARGIN-TOP:3PX;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Resona
 Preferred Global Securities Ltd., 7.191%<BR>
 (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,895,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Royal Bank
 of Scotland Group Plc, (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,675 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>6.99%</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,756,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,130 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>7.648%</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,341,369</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,100 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Ser. MTN,
 7.64%</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,322,723</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,000 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Shinsei
 Finance II, 7.16% (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,345,941</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,000 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>SMFG
 Preferred Capital 1 Ltd., 6.078% (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,354,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,850 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Societe
 Generale, 5.922% (France)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,987,666</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sovereign
 Capital Trust V, 7.75%, 5/22/36</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,127,661</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,305 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>State
 Street Capital Trust IV, 6.694%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,559,273</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,300 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Standard
 Chartered Plc, 7.014% (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,307,119</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,475 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5,6</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Swiss Re
 Capital I LP, 6.854%</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,711,477</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,100 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Travelers
 Cos., Inc., 6.25%, 3/15/37</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,547,380</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>95,700</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Wachovia
 Capital Trust IX, 6.375%, 6/01/67</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,177,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,225 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Webster
 Capital Trust IV, 7.65%, 6/15/37</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,198,942</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,400 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>White
 Mountains RE Group Ltd., 7.506% (Bermuda)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,151,206</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,150 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Woori Bank,
 6.208%, 5/02/37 (South Korea)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,665,087</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,000 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>XL Capital
 Ltd., Ser. E, 6.50% (Cayman Islands)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,287,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,220 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ZFS Finance
 Trust I, 6.50%, 5/09/37</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,647,774</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 Financial Institutions</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>718,678,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Media&#151;1.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>780,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Comcast Corp.,
 6.625%, 5/15/56</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,119,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Real
 Estate&#151;1.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><SUP>4,5</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Sovereign
 Real Estate Investment Corp. (REIT), 12.00%</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,122,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695"
FACE=ARIAL><B>Telecommunications&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>270,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>AT&amp;T,
 Inc., 6.375%, 2/15/56</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,504,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total Trust
 Preferred Stocks</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>793,630,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>

<TR>
 <TD VALIGN=TOP COLSPAN=4>
 <P><FONT SIZE=1 FACE=ARIAL>See Notes
to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>41</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="40%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL><BR>Portfolio of Investments <FONT SIZE=2 COLOR="#005695" FACE=ARIAL>as of October 31,
2007</FONT></FONT></P>
</TD>
<TD VALIGN=TOP NOWRAP>
<P><FONT FACE="ARIAL" SIZE="2" COLOR="#005695"><B><BR>BlackRock Preferred and Equity Advantage
Trust (BTZ)<BR>(continued)</B> </FONT> <FONT FACE="ARIAL" COLOR="#005695"><B><BR></B> </FONT> <FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages
shown are based on Net Assets)</B> </FONT> </P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="64%" VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Principal<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Corporate
 Bonds&#151;12.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Automotive&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Lear Corp., Ser. B, 8.75%, 12/01/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,800,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Basic
 Materials&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>2,350 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Ineos Group Holdings Plc, 8.50%, 2/15/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>(United Kingdom)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,232,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Commercial
 Services&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>5,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Quebecor World, Inc., 9.75%, 1/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,875,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Consumer
 Products&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P  STYLE="MARGIN-TOP:3PX" ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Michaels Stores, Inc., 11.375%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,987,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Ecological
 Services &amp; Equipment&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Aleris Intl., Inc., 10.00%, 12/15/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,400,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;1.0%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>CMS Energy Corp., 6.55%, 7/17/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,066,737</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>5,000 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Southern Union Co., 7.20%, 11/01/66</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,991,065</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Energy</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,057,802</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Entertainment
 &amp; Leisure&#151;0.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>AMC Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,706,250</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,760</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Harrah&#146;s Operating Co., Inc., 5.75%, 10/01/17</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,298,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Station Casinos, Inc., 6.875%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,482,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,486,750</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Financial
 Institutions&#151;6.2%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Bear Stearns Cos., Inc. (The),</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,050</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>6.40%, 10/02/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,040,106</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>Ser. MTN, 6.95%, 8/10/12</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,122,076</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>3,095 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>CIT Group, Inc., 5.734%, 11/23/07</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,089,899</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>6,500 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3,4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>ICICI Bank Ltd., 6.375%, 4/30/22 (India)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,018,539</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,400</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>JPMorgan Chase Capital XXV, Ser. Y, 6.80%, 10/01/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,379,705</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Lehman Brothers Holdings, Inc.,</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,375</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>6.875%, 7/17/37</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,316,669</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>1,075 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>Ser. MTN, 7.394%, 9/15/22</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,098,436</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>3,750 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Lincoln National Corp., 7.00%, 5/17/66</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,851,715</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,550</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>MetLife, Inc., 6.40%, 12/15/36</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,310,242</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>5,000 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Momentive Performance Materials, Inc., 9.75%, 12/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,875,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,000 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Reinsurance Group of America, Inc., 6.75%, 12/15/65</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,263,755</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Financial Institutions</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>68,366,142</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Health
 Care&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Tenet Healthcare Corp., 9.875%, 7/01/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,095,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Industrials&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>283</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Stan IV Ltd., 7.137%, 7/17/11</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>274,510</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Media&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Cablevision Systems Corp., Ser. B, 8.00%, 4/15/12</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,887,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Nexstar Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>960,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Media</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,847,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Technology&#151;1.3%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,410</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Freescale Semiconductor, Inc., 9.125%, 12/15/14</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,991,050</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,725,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>SunGard Data Systems, Inc., 10.25%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,212,500</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Technology</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,928,550</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Telecommunications&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Intelsat Ltd. (Bermuda)</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>3,325 </FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>8.886%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,374,875</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>11.25%, 6/15/16</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,375,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,749,875</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total Corporate Bonds</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140,101,129</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>U.S.
 Government and Agency Securities&#151;0.9%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,595</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>U.S. Treasury Bonds, 4.75%, 2/15/37</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,589,753</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,340</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL>U.S. Treasury Notes, 4.75%, 8/15/17</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,435,614</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P>&nbsp;</P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,025,367</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><B>Total Long-Term Investments</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><B>(cost $1,649,080,855)</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,601,559,014</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom colspan=2>
<P ALIGN="CENTER"><FONT SIZE=1  FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>SHORT-TERM
 INVESTMENTS&#151;2.8%</B></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD COLSPAN="4" VALIGN=bottom>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Money
 Market Fund&#151;2.6%</B></FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>28,300 </FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>SSgA Tax Free Money Mkt. Fund - Class A, 4.757%</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,300,000</FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=bottom style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="64%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=BOTTOM>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><BR><B>Principal</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>(000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>U.S.
 Government and Agency Discount Notes&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>2,100 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Federal Home Loan Bank Disc. Notes,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>4.401%, 11/01/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,099,743</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Total Short-Term Investments</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>(cost $30,399,743)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,399,743</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>BORROWED
 BOND AGREEMENTS&#151;1.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Lehman Brothers, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>3,947 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>4.53%, 11/08/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,946,555</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>4,530 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>4.11%, 11/08/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,530,094</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>5,356 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>4.25%, 11/02/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,355,637</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Total Borrowed Bond Agreements
 ($13,832,286)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,832,286</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Total Investments before borrowed bonds,</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>investments sold short and outstanding
 call</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>options written (cost $1,693,312,884<SUP>9</SUP>)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,645,791,043</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>BORROWED
 BONDS&#151;(1.2)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,855</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>U.S. Treasury Bonds, 4.75%, 2/15/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,851,383</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(9,695</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>U.S. Treasury Notes, 4.75, 8/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(9,908,592</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Total Borrowed Bonds (proceeds
 $13,843,782)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(13,759,975</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=BOTTOM>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>INVESTMENTS
 SOLD SHORT&#151;(0.0)%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT STYLE="MARGIN-TOP:3PX"><FONT SIZE=1  FACE=ARIAL>(465</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL>)<SUP>3,4,5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Barclays Bank Plc, 5.926% (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>(proceeds $441,536)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(440,135</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1  FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="64%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><BR><B>Contracts</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>(000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>OUTSTANDING
 CALL OPTIONS WRITTEN&#151;(0.4)%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(48</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>S&amp;P 500 Index, strike price $1,550, expires 11/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(983,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(30</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>S&amp;P 500 Index, strike price $1,550, expires 12/22/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,200,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(108</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>S&amp;P 500 Index, strike price $1,575, expires 11/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(772,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(31</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>S&amp;P 500 Index, strike price $1,575, expires 12/22/07</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(706,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>S&amp;P 500 Index, strike price $1,600, expires 12/22/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(468,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Total Outstanding Options Written</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>(premium received $5,426,127)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,130,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP COLSPAN=4>
<P><FONT FACE="ARIAL" SIZE="1"><B>Total Investments net of borrowed bonds, investments sold
short</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP COLSPAN=4>
<P><FONT FACE="ARIAL" SIZE="1"><B>and outstanding call options written&#151;146.8%</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,627,460,833</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP COLSPAN=4>
<P><FONT FACE="ARIAL" SIZE="1"><B>Liabilities in excess of other assets&#151;(5.1)%</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(56,649,879</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP COLSPAN=4>
<P><FONT FACE="ARIAL" SIZE="1"><B>Preferred shares at redemption value, including dividends</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP COLSPAN=4>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT FACE="ARIAL" SIZE="1"><B>payable&#151;(41.7)%</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(462,276,473</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=BOTTOM COLSPAN=5>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>



<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP COLSPAN=4>
<P><FONT FACE="ARIAL" SIZE="1"><B>Net Assets Applicable to Common Shareholders&#151;100%</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT FACE="ARIAL" SIZE="1"><B>$</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT FACE="ARIAL" SIZE="1"><B>1,108,534,481</B> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=BOTTOM COLSPAN=5>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>

</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>

<TR>
 <TD VALIGN=TOP COLSPAN=4>
 <P><FONT SIZE=1 FACE=ARIAL>See Notes
to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>42</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL><BR>Portfolio of Investments <FONT COLOR="#005695" size=2 FACE=ARIAL>as of October 31,
2007</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT FACE="ARIAL" SIZE="2" COLOR="#005695"><B><BR>BlackRock Preferred and Equity Advantage
Trust (BTZ) (concluded)<BR></B> </FONT> <FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>(Percentages
shown are based on Net Assets)</B> </FONT> </P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
<TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>


<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Non-income producing security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Security, or a portion thereof, pledged as collateral with
 a value of $24,670,394 on 70 long S&amp;P 500 Index futures contracts
 expiring December 2007 and 5,470 short U.S. Treasury Note futures contracts
 expiring December 2007. The notional value of such contracts on October 31,
 2007 was $574,574,719, with an unrealized loss of $5,812,349.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P  STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Variable rate security. Rate shown is interest rate as of
 October 31, 2007.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Security is not registered under the Securities Act of
 1933. These securities may be resold in transactions in accordance with Rule
 144A under that Act, to qualified institutional buyers. As of October 31,
 2007, the Trust held 43.0% of its net assets, with a current market value of
 $476,024,964, in securities restricted as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>The security is a perpetual bond and has no stated
 maturity date.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Entire or partial principal amount pledged as collateral
 for reverse repurchase agreements. See Note 4 in the Notes to Financial
 Statements for details of open reverse repurchase agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Represents current yield as of October 31, 2007.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Rate shown is the yield to maturity as of the date of
 purchase.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Cost for federal income tax purposes is $1,671,302,709.
 The net unrealized depreciation on a tax basis is $47,639,949, consisting of
 $35,071,886 gross unrealized appreciation and $82,702,835 gross unrealized
 depreciation.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>See Note 1 in the Notes to Financial Statements for
 details of borrowed bond agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>For Trust compliance purposes, the Trust&#146;s sector and
 industry classifications refer to any one or more of the Standard Industry
 Codes as defined by the SEC. This definition may not apply for purposes of
 this report, which may combine sector and industry sub-classifications for
 reporting ease.</FONT></P>
</TD>
</TR>
</table>

<BR><TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>

<TR>
 <TD VALIGN=TOP COLSPAN=4>
 <P><FONT SIZE=1 FACE=ARIAL>See Notes
to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>43</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="55%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="17%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="28%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as of October 31, 2007</FONT></P>
 </TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
 <TD VALIGN=BOTTOM nowrap>
<P><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock
  Strategic Bond Trust (BHD)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based on Net Assets)</B> </FONT></P>
</TD>
</TR>
</table>


<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>LONG-TERM
  INVESTMENTS&#151;89.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Corporate
  Bonds&#151;84.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Aerospace
  &amp; Defense&#151;6.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>AAR Corp., Ser. A2, 8.39%, 5/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>252,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Bombardier, Inc., 8.00%, 11/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>124,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,064</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,130,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>DRS Technologies, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.875%,
  11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.625%,
  2/01/18</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>81,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Lockheed Martin Corp., Ser. B, 6.15%, 9/01/36</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,057,416</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Northrop Grumman Corp., 7.125%, 2/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,061,478</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Raytheon Co., 4.85%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>643,928</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Sequa Corp., 9.00%, 8/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>53,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>TransDigm, Inc., 7.75%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>91,575</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>United Technologies Corp., 6.35%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,042,565</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Aerospace &amp; Defense</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,590,187</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Automotive&#151;3.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Accuride Corp., 8.50%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>103,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>45</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Ashtead Capital, Inc., 9.00%, 8/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>43,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>AutoNation, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.00%,
  4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>106,425</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>110</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.243%,
  4/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>107,525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,074,229</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Ford Capital BV, 9.50%, 6/01/10 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>352,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>275</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Lear Corp., Ser. B, 8.75%, 12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>264,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Metaldyne Corp., 10.00%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>186,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,414,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Automotive</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,651,854</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Basic
  Materials&#151;5.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>AK Steel Corp., 7.75%, 6/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>326,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>220</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>161,700</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>180</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>American Pacific Corp., 9.00%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>184,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Bowater, Inc., 8.694%, 3/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>54,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>CPG Intl. I, Inc., 10.50%, 7/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Chemtura Corp., 6.875%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Domtar, Inc., 7.125%, 8/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>FMG Finance Ltd., 10.625%, 9/01/16 (Australia)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>154,050</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Freeport-McMoRan Copper &amp; Gold, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>690</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.375%,
  4/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>755,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>240</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL STYLE="MARGIN-TOP:3PX">8.394%,
  4/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>247,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Huntsman LLC,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>99</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>11.50%, 7/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>107,663</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>11.625%, 10/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>53,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>595</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Ineos Group Holdings Plc, 8.50%, 2/15/16 (United Kingdom)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>565,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>980</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Innophos, Inc., 8.875%, 8/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>987,350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>135</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Key Plastics LLC/Key Plastics Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.75%,
  3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>114,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Lyondell Chemical Co., 10.50%, 6/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140,075</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>530</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>NewPage Corp., 10.00%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>560,475</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>155</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>NOVA Chemicals Corp., 8.484%, 11/15/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>152,287</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>170</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Terra Capital, Inc., Ser. B, 7.00%, 2/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>170,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Basic Materials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,944,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Building
  &amp; Development&#151;0.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>465</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Goodman Global Holding Co., Inc., 7.875%, 12/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>485,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>115</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Nortek, Inc., 8.50%, 9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>101,775</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>North American Energy Partners, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.75%,
  12/01/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>126,250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Building &amp; Development</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>713,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Commercial
  Services&#151;0.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Quebecor World, Inc., 9.75%, 1/15/15 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>117,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Conglomerates&#151;0.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Honeywell Intl., Inc., 7.50%, 3/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>344,254</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Consumer
  Products&#151;3.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Ames True Temper, Inc., 9.243%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>336,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.058%,
  5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Beverages &amp; More, Inc., 9.25%, 3/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>61,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>General Nutrition Centers, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.194%,
  3/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>346,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>290</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.75%,
  3/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>282,025</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>362</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Lazy Days RV Center, Inc., 11.75%, 5/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>325,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Michaels Stores, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>340</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.00%,
  11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>342,550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>430</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.375%,
  11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>428,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Pantry, Inc. (The), 7.75%, 2/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>487,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Quiksilver, Inc., 6.875%, 4/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>93,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Reynolds American, Inc., 7.625%, 6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>216,383</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Rite Aid Corp., 7.50%, 3/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>488,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>270</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Sally Holdings LLC, 10.50%, 11/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>268,650</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Consumer Products</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,697,383</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Containers
  &amp; Packaging&#151;1.6%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Berry Plastics Holding Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.875%,
  9/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>194,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.569%,
  9/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130,325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Crown Americas LLC/Crown Americas Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.75%,
  11/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>257,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>55</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Graham Packaging Co., Inc., 8.50%, 10/15/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>54,588</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>260</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>258,636</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>565</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Pregis Corp., 12.375%, 10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>615,850</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Containers &amp; Packaging</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,511,649</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Ecological
  Services &amp; Equipment&#151;2.1%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Casella Waste Systems, Inc., 9.75%, 2/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,530,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Waste Services, Inc., 9.50%, 4/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>550,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Total Ecological Services &amp; Equipment</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,080,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;11.0%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Berry Petroleum Co., 8.25%, 11/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>102,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Chaparral Energy, Inc., 8.50%, 12/01/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>233,125</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Chesapeake Energy Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.375%,
  6/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>126,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.875%,
  11/15/20</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Compagnie Generale de Geophysique-Veritas (France)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>65</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.50%,
  5/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>66,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.75%,
  5/15/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>72,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>255</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Compton Petroleum Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.625%,
  12/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>244,163</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>ConocoPhillips Holding Co., 6.95%, 4/15/29</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,138,708</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>738</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Corral Finans AB, 6.855%, 4/15/10 (Sweden)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>697,569</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>DTE Energy Co., 7.05%, 6/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>263,126</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Dominion Resources, Inc., 5.70%, 9/17/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,012,104</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Edison Mission Energy, 7.50%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>126,719</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>El Paso Natural Gas Co., 8.375%, 6/15/32</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>203,997</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Elwood Energy LLC, 8.159%, 7/05/26</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>31,764</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Encore Acquisition Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.00%,
  7/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>27,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>40</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.25%,
  12/01/17</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>38,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>275</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Exco Resources, Inc., 7.25%, 1/15/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>271,562</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,075</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>FirstEnergy Corp., Ser. C, 7.375%, 11/15/31</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,173,577</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Forest Oil Corp., 7.25%, 6/15/19</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>360,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>KCS Energy, Inc., 7.125%, 4/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>221,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>426</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Midwest Generation LLC, Ser. B, 8.56%, 1/02/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>457,680</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>185</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Mirant Americas Generation LLC, 8.30%, 5/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>187,081</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>NRG Energy, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.25%,
  2/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>285</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.375%,
  2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>284,287</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Occidental Petroleum Corp., 6.75%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>264,973</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>OPTI, Inc., 8.25%, 12/15/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>320,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Orion Power Holdings, Inc., 12.00%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>154,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<tr>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>

 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
<tr>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>

 </TR>

 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN="RIGHT"><FONT SIZE=1 FACE=ARIAL>44</FONT></P>
 </TD>

 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="55%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="17%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="28%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
<HR SIZe=6 noshade color=#7897C3 align=center Width=100%>
 </TD>
 </TR>
 <TR>
 <TD COLSPAN="3" VALIGN=BOTTOM>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=top NOWRAP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of
  Investments</FONT> <FONT  size=2 COLOR="#005695" FACE=ARIAL>as of October 31, 2007</FONT></P>
 </TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
 <TD VALIGN=BOTTOM nowrap>
<P><FONT FACE="ARIAL" size=2 COLOR="#005695"><B>BlackRock
  Strategic Bond Trust (BHD) (continued)</B> </FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=left><FONT FACE="ARIAL" SIZE="1" COLOR="#1E5F95"><B>(Percentages shown are based on Net Assets)</B> </FONT></P>
</TD>
</TR>
</table>


<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Energy&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Progress
  Energy, Inc., 7.75%, 3/01/31</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,174,755</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>305</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sabine Pass
  LNG LP, 7.50%, 11/30/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>298,900</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>275</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>SemGroup
  LP, 8.75%, 11/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>264,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Targa
  Resources, Inc., 8.50%, 11/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>404,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>330</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Whiting
  Petroleum Corp., 7.25%, 5/01/12-5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>324,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Williams
  Cos., Inc., 7.125%, 9/01/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,938</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Energy</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,701,328</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Entertainment
  &amp; Leisure&#151;0.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AMC
  Entertainment, Inc., 11.00%, 2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>216,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>225</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Greektown
  Holdings LLC, 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>223,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Harrah&#146;s
  Operating Co., Inc., 5.75%, 10/01/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>62,688</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Seneca
  Gaming Corp., Ser. B, 7.25%, 5/01/12</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>191,425</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>115</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wynn Las
  Vegas LLC/Wynn Las Vegas Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.625%,
  12/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>112,987</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Entertainment &amp; Leisure</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>807,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Financial
  Institutions&#151;10.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>102</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AES
  Ironwood LLC, 8.857%, 11/30/25</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>110,975</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>American
  Real Estate Partners LP/American Real Estate
  Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.125%,
  2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>224,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>860</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.125%,
  6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>866,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>106</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>BMS
  Holdings, Inc., 12.40%, 2/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>101,985</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ford Motor
  Credit Co. LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>6.813%,
  1/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,524,146</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.993%,
  1/13/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>138,866</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.80%,
  6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>234,894</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>HSBC Bank,
  Inc., 3.875%, 9/15/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,469,899</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>572</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>iPayment
  Investors LP, 11.625%, 7/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>589,367</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>iPayment,
  Inc., 9.75%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>168,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>MetLife,
  Inc., 6.125%, 12/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>336,267</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Momentive
  Performance Materials, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.75%,
  12/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>29,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>445</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.50%,
  12/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>429,425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Rainbow
  National Services LLC,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.75%,
  9/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>218,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,455</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.375%,
  9/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,600,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>570</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Structured
  Asset Receivable Trust, 1.649%, 1/21/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>564,635</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TIAA Global
  Markets, Inc., 3.875%, 1/22/08</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>997,133</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Universal
  City Florida Holding Co. I/II, 9.661%, 5/01/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>51,125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wimar Opco
  LLC/Wimar Opco Finance Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.625%,
  12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>318,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Financial Institutions</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,974,317</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Health Care&#151;3.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Merck &amp;
  Co., Inc., 4.375%, 2/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>969,871</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>320</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Tenet
  Healthcare Corp., 6.50%, 6/01/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>271,200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>WellPoint,
  Inc., 5.95%, 12/15/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>966,030</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wyeth,
  6.50%, 2/01/34</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,055,966</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Health
  Care</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,263,067</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Industrials&#151;1.7%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>260</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AGY Holding
  Corp., 11.00%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>256,100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Hexcel
  Corp., 6.75%, 2/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>98,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Park-Ohio
  Industries, Inc., 8.375%, 11/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>279,750</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>RBS Global,
  Inc./Rexnord Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.50%,
  8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>361,375</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.75%,
  8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>238,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>470</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sunstate
  Equipment Co. LLC, 10.50%, 4/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>451,200</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Industrials</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,685,175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Media&#151;14.4%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Adelphia
  Communications Corp., 10.50%, 12/31/49</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>66,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Affinion
  Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>435</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.125%,
  10/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>453,487</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>220</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.50%,
  10/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>229,350</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>American
  Media Operations, Inc., Ser. B, 10.25%, 5/01/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>119,688</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="66%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Media&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AOL Time
  Warner, Inc., 7.70%, 5/01/32</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,123,704</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cablevision
  Systems Corp., Ser. B, 9.644%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>123,300</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CanWest
  MediaWorks, Inc., 8.00%, 9/15/12 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>78,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>215</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Charter
  Communications Holdings I LLC/Charter<BR>
  Communications Holdings I Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.00%,
  10/01/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>208,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Charter
  Communications Holdings II LLC/Charter<BR>
  Communications Holdings II Capital Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>605</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.25%,
  9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>617,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>105</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Ser. B,
  10.25%, 9/15/10</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>106,838</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CMP
  Susquehanna Corp., 9.875%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>459,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Comcast
  Cable Communications, Inc., 6.875%, 6/15/09</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,025,415</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Dex Media
  West LLC/Dex Media Finance Co., Ser. B,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.875%,
  8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>53,313</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>DirecTV Holdings
  LLC/DirecTV Financing Co.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.375%,
  3/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>104,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>EchoStar
  DBS Corp.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.75%,
  10/01/08</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>548,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>210</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.00%,
  10/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>218,662</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>45</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.125%,
  2/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>47,025</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ION Media
  Networks, Inc., 8.493%, 1/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>501,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>485</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Idearc,
  Inc., 8.00%, 11/15/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>486,212</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>405</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Network
  Communications, Inc., 10.75%, 12/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>407,531</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>News
  America, Inc., 6.20%, 12/15/34</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,454,229</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>560</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Nexstar
  Finance, Inc., 7.00%, 1/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>537,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Nielsen
  Finance LLC/Nielsen Finance Co.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>220</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.115%,
  8/01/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>158,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>710</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.00%,
  8/01/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>747,275</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>945</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>RH
  Donnelley Corp., Ser. A-3, 8.875%, 1/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>945,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sinclair
  Broadcast Group, Inc., 4.875%, 7/15/18</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>63,459</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sirius
  Satellite Radio, Inc., 9.625%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>79,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TCI
  Communications, Inc., 7.875%, 2/15/26</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,138,691</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TL
  Acquisitions, Inc., 10.50%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>746,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>275</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Univision
  Communications, Inc., 9.75%, 3/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>269,500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>445</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Vertis,
  Inc., 9.75%, 4/01/09</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>445,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Viacom,
  Inc., 6.625%, 5/15/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>88,370</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>370</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Young
  Broadcasting, Inc., 10.00%, 3/01/11</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>347,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Media</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,999,549</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Real Estate&#151;0.5%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ERP
  Operating LP, 6.95%, 3/02/11</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>521,745</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Technology&#151;3.8%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Amkor
  Technology, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.75%,
  5/15/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>48,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.25%,
  6/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>92,025</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>565</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Celestica,
  Inc., 7.625%, 7/01/13 (Canada)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>542,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Freescale
  Semiconductor, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>540</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.125%,
  12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>488,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.569%,
  12/15/14</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>91,875</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>340</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>NXP BV/NXP
  Funding LLC, 9.50%, 10/15/15 (Netherlands)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>321,300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>345</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sanmina-SCI
  Corp., 8.125%, 3/01/16</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>302,738</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>SunGard
  Data Systems, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.125%,
  8/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>142,800</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>610</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.25%,
  8/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>635,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,010</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Superior
  Essex Communications LLC/Essex Group, Inc.,</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.00%,
  4/15/12</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>997,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  Technology</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,663,513</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695"
FACE=ARIAL><B>Telecommunications&#151;12.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>190</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cincinnati
  Bell, Inc., 7.25%, 7/15/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>190,475</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cricket
  Communications, Inc., 9.375%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>138,950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Digicel
  Group Ltd. (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.875%,
  1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>158,746</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>540</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.125%,
  1/15/15</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>503,957</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Hawaiian
  Telcom Communications, Inc., Ser. B,</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>10.318%,
  5/01/13</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>131,625</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>355</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Intelsat
  Corp., 9.00%, 6/15/16</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>362,987</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
</TR>

<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.<BR><BR></FONT></P>
 </TD>
</TR>


 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>45</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>

 </TR>
</table>

<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="42%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Portfolio of Investments<FONT SIZE=2 COLOR="#005695" FACE=ARIAL> as
  of October 31, 2007</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM nowrap>
<P><FONT SIZE=2 COLOR="#005695" FACE=ARIAL><B>BlackRock Strategic Bond Trust (BHD)
  (concluded)</B></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>(Percentages
  shown are based on Net Assets)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="65%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP >
<P><FONT SIZE=1  COLOR="#005695" FACE=ARIAL><B>Telecommunications&#151;(cont&#146;d)</B></FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Intelsat Ltd. (Bermuda)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=bottom >
<P><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=bottom >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style="margin-top:-3px"><FONT SIZE=1  FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.886%, 1/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>86,275</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>9.25%, 6/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>311,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>170</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.25%, 6/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>182,750</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>730</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1  FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>11.409%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>761,025</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>240</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Intelsat Subsidiary Holding Co. Ltd.,<BR>
  8.625%, 1/15/15 (Bermuda)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>243,600</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>90</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1  FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>MetroPCS Wireless, Inc., 9.25%, 11/01/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>89,325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT style="margin-top:3px"><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style="margin-top:-3px"><FONT SIZE=1  FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT;margin-top:3px'><FONT   SIZE=1 FACE=ARIAL>Nordic Telephone Co. Holdings A.p.S.,<BR>
  8.875%, 5/01/16 (Denmark)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>528,750</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT style="margin-top:3px"><FONT SIZE=1  FACE=ARIAL>410</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1  FACE=ARIAL><SUP>2,3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT;margin-top:3px'><FONT   SIZE=1 FACE=ARIAL>Nortel Networks Ltd., 9.493%, 7/15/11 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>404,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>PanAmSat Corp., 9.00%, 8/15/14
</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>127,500</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Qwest Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>






<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>7.875%, 9/01/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>211,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>340</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=bottom >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.944%, 6/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>362,525</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>SBC Communications, Inc., 6.45%, 6/15/34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,558,848</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Telecom Italia Capital S.A., 4.95%, 9/30/14
(Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>957,141</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Verizon New England, Inc., 6.50%, 9/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,078,264</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Vodafone Group Plc, 7.75%, 2/15/10 (United
Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,057,537</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>590</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>West Corp., 11.00%, 10/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>618,025</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top>
<P STYLE="margin-top:3px" ALIGN="RIGHT"><FONT SIZE=1  FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=TOP >
<P style="margin-top:-3px"><FONT SIZE=1  FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=bottom >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wind Acquisition Finance S.A., 10.75%,<BR>
  12/01/15 (Luxembourg)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>278,125</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Windstream Corp.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>360</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.125%, 8/01/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>380,700</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>8.625%, 8/01/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>181,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Telecommunications</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,906,155</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Transportation&#151;2.2%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>125</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>American Airlines, Inc., Ser. 99-1, 7.324%,
4/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>123,438</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Britannia Bulk Plc, 11.00%, 12/01/11 (United
Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>84,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>500</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Canadian National Railway Co., 6.90%, 7/15/28
(Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>542,396</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>459,562</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>425</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Navios Maritime Holdings, Inc., 9.50%, 12/15/14 <BR>
  (Marshall Islands)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>449,438</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Overseas Shipholding Group, Inc., 8.25%,
3/15/13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>309,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>240<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=bottom >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>St. Acquisition Corp., 12.50%, 5/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>153,000</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total Transportation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,121,584</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT FACE="ARIAL" SIZE="1"><B>Total Corporate Bonds</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>82,294,635</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><FONT COLOR="#005695"><B>U.S. Government and Agency
Securities&#151;3.9%</B></FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S. Treasury Bonds,</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>130</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.75%, 2/15/37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>129,929</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>410</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>5.375%, 2/15/31</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>444,210</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S. Treasury Notes,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>810</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.125%, 8/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>813,924</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,075</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.25%, 8/15/13-8/15/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,077,249</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>550</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.875%, 8/15/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>567,359</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>710</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>4.75%, 5/15/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>729,691</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total U.S. Government and Agency Securities</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,762,362</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Trust Preferred
  Stock&#151;0.7%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top>
<P align=right style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>650</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>2,3,7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT;margin-top:3px'><FONT   SIZE=1 FACE=ARIAL>Barclays Bank Plc, 8.55%<BR>(United Kingdom)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>699,144</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="65%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=right><FONT SIZE=1   FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Value</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1  COLOR="#005695" FACE=ARIAL><B>Common Stocks&#151;0.2%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>396,568</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>1,8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1  FACE=ARIAL>Adelphia Recovery Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>29,742</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>947</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1,8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1  FACE=ARIAL>Critical Care Systems Intl., Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,919</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,388</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=bottom>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1  FACE=ARIAL>Time Warner Cable, Inc.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>182,633</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1  FACE=ARIAL>Total Common Stocks</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>218,294</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1  COLOR="#005695" FACE=ARIAL><B>Preferred Stock&#151;0.0%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=bottom BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1  FACE=ARIAL>Superior Essex Holding Corp., Ser. A, 9.50%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT   SIZE=1  FACE=ARIAL><B>Total Long-Term Investments<BR>
(cost $87,726,069)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87,005,435</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1px">
<TD VALIGN=TOP style="border-bottom:solid #7394C1 6px">&nbsp;
</TD>
</TR>
</TABLE>
<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="65%" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>Principal<BR>
  Amount<BR>
  (000)</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>SHORT-TERM
  INVESTMENT&#151;9.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>U.S. Government and
  Agency Discount Notes&#151;9.3%</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="margin-top:3px" ALIGN="RIGHT"><FONT SIZE=1   FACE=ARIAL>9,000</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal Home Loan Bank Disc. Notes,<BR>4.401%, 11/01/07 (cost $9,000,000)</FONT></P>
</TD>
<TD VALIGN=TOP  BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP  BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM  BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,000,000</FONT></P>
</TD>
<TD VALIGN=TOP  BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD COLSPAN="4" VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Total investments&#151;98.6% (cost
$96,726,069<SUP>10</SUP>)</B></FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>96,005,435</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR  BGCOLOR="#E6E6E6">
<TD COLSPAN="4" VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Other assets in excess of liabilities&#151;1.4%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,404,288</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR >
<TD COLSPAN="4" VALIGN=TOP >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Net Assets&#151;100%</B></FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1 FACE=ARIAL><B>$</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL><B>97,409,723</B></FONT></P>
</TD>
<TD VALIGN=TOP >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:5px">
<TD VALIGN=TOP>
<p>&nbsp;</p>
</td>
</tr>
<TR style="font-size:1 px">
<TD COLSPAN="4" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;
</TD>
</TR>
</TABLE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>Security is fair valued.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>Security is not registered under
  the Securities Act of 1933. These securities may be resold in transactions in
  accordance with Rule 144A under that Act, to qualified institutional buyers.
  As of October 31, 2007, the Trust held 13.4% of its net assets, with a
  current market value of $13,035,212, in securities restricted as to resale.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>Variable rate security. Rate
  shown is interest rate as of October 31, 2007.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>Entire or partial principal
  amount pledged as collateral for reverse repurchase agreements. See Note 4 in
  the Notes to Financial Statements for details of open reverse repurchase
  agreements.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>Illiquid security. As of October
  31, 2007, the Trust held 0.6% of its net assets, with a current market value
  of $564,635, in these securities.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>Represents a step up bond; the
  interest rate shown reflects the effective yield at the time of purchase.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>The security is a perpetual bond
  and has no stated maturity date.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>Non-income producing security.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>Rate shown is the yield to
  maturity as of the date of purchase.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-2px"><FONT SIZE=1 FACE=ARIAL><SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:2px"><FONT SIZE=1 FACE=ARIAL>Cost for federal income tax
  purposes is $96,796,459. The net unrealized depreciation on a tax basis is
  $791,024, consisting of $1,347,299 gross unrealized appreciation and
  $2,138,323 gross unrealized depreciation.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>For Trust compliance
purposes, the Trust&#146;s sector and industry classifications refer to any one or
more of the Standard Industry Codes as defined by the SEC. This definition may
not apply for purposes of this report, which may combine sector and industry
sub-classifications for reporting ease.</FONT></P>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=BOTTOM>
 <BR>
 </TD>
</TR>
 <TR>
 <TD VALIGN=BOTTOM style='border-top:1px solid black;border-right:1px solid black'>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:1px solid black;border-right:1px solid black'>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:1px solid black'>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:1px solid black'>
 <BR>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P ALIGN=RIGHT><FONT SIZE=1 FACE=ARIAL>46</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="42%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="3" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP >
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL><A NAME=A004>Statements of Assets and Liabilities</A></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="36%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>October 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM nowrap>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>BlackRock<BR>
  Broad<BR>
  Investment<BR>
  Grade 2009<BR>
  Term Trust Inc.<SUP>1<BR>
  </SUP>(BCT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>BlackRock<BR>
  Core<BR>
  Bond Trust<BR>
  (BHK)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>BlackRock<BR>
  High Yield<BR>
  Trust<BR>
  (BHY)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>BlackRock<BR>
  Income<BR>
  Opportunity<BR>
  Trust<BR>
  (BNA)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>BlackRock<BR>
  Income<BR>
  Trust Inc.<BR>
  (BKT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR  bgcolor=#E7ECF6>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:15.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Assets</B></FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investments
  at value, unaffiliated<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,361,651</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>667,583,920</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>59,618,159</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>725,931,579</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>483,248,453</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investments
  at value, affiliated<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>933,463</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>100,407</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,019</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investments
  in affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>21,616</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>83,837</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>31,411</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>156,215</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>187,780</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cash</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>179,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>184,465</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>63,169</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>23,022</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>210,894</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Foreign
  currency at value<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,962</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Receivable
  from investments sold</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>79,414,032</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>298,143</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>118,755,429</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>298,981,807</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Variation
  margin receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>285,126</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>196,616</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,503,972</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  gain on foreign currency exchange contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>21,131</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Interest
  receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>191,706</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,893,932</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,376,913</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,113,470</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,266,783</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  appreciation on interest rate swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,366,013</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,167,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19,676,308</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Other
  assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,126</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,684</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,960</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,754,327</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>759,785,007</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>61,388,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>857,446,235</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>808,128,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>





<TR style="font-size:10px">
<TD VALIGN=TOP>
<p>&nbsp;</p>
</td>
</tr>
<TR  bgcolor=#E7ECF6>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:15.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Liabilities</B></FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>103,353,692</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>105,261,512</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>33,895,363</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Payable for
  investments purchased</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>194,609,753</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,124,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>264,757,861</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>252,599,751</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Variation
  margin payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  loss on foreign currency exchange contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Loans
  payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,250,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Borrowed
  bonds at value<SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80,405,639</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85,300,660</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>35,402,682</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investments
  sold short at value</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Outstanding
  options written at value<SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,554,341</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,712,207</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11,216,778</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TBA sale
  commitments<SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,630,377</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,225,372</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,770,896</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  depreciation on interest rate swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,709,585</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,365,027</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>960,832</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  depreciation on credit default swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>462</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>98</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Interest
  payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>982,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>46,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,321,187</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,030,721</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Deferred
  income liability</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Interest
  rate floors at value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,683,965</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cash
  received as collateral</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>200,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Dividends
  payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,990</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>58,217</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,833</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>51,466</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>86,657</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investment
  advisory fees payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>18,502</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>217,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>54,216</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>192,939</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>230,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Administration
  fees payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,046</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>32,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>53,098</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Deferred
  Trustees&#146; fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>21,616</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>83,837</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>31,411</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>156,215</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>187,780</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Payable to
  affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11,894</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>316</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,053</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14,467</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trustees&#146;
  fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8,518</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,882</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,667</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,560</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,507</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Other
  accrued expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>124,676</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>223,510</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>89,117</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>248,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>338,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>185,348</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>391,449,780</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,606,644</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>477,841,358</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>390,478,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR style="font-size:10px">
<TD VALIGN=TOP>
<p>&nbsp;</p>
</td>
</tr>
<TR  bgcolor=#E7ECF6>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:15.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Preferred Shares at Redemption
Value</B></FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>$0.001 par
  value per share and $25,000 liquidation value per share, including dividends
  payable<SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net Assets
  Applicable to Common Shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,568,979</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>368,335,227</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,782,256</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>379,604,877</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>417,650,951</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Composition
  of Net Assets Applicable to Common Shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Par value<SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>29,571</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>27,019</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,419</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>344,497</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>639,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Paid-in
  capital in excess of par</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>38,164,047</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>380,862,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>90,440,587</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>402,495,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>480,038,780</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cost of
  shares held in treasury<SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(17,377,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Undistributed
  (distributions in excess of) net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,863,653</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1,696,051</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>116,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>768,824</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(6,313,294</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Accumulated
  net realized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(3,222,230</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(9,982,656</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(36,529,058</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(5,053,727</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(62,361,817</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  unrealized appreciation (depreciation)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(266,062</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(875,332</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(3,252,342</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1,572,167</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,647,857</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net assets
  applicable to common shareholders, October 31, 2007</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,568,979</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>368,335,227</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>50,782,256</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>379,604,877</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>417,650,951</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value<SUP>11</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.91</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>1 </SUP><FONT   SIZE=1 FACE=ARIAL>Consolidated
  Statement of Assets and Liabilities</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>2 </SUP><FONT   SIZE=1 FACE=ARIAL>Investments
  at cost, unaffiliated</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,627,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>669,290,048</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>62,870,501</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>728,241,712</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>489,276,096</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>3 </SUP><FONT   SIZE=1 FACE=ARIAL>Investments
  at cost, affiliated</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>926,771</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>105,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>52,584</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>4 </SUP><FONT   SIZE=1 FACE=ARIAL>Foreign
  currency at cost</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,603</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>5 </SUP><FONT   SIZE=1 FACE=ARIAL>Proceeds
  received</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80,372,938</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>85,264,516</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>34,289,344</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>6 </SUP><FONT   SIZE=1 FACE=ARIAL>Premiums
  received</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,261,545</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,478,560</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,904,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>7 </SUP><FONT   SIZE=1 FACE=ARIAL>Proceeds
  for TBA sale commitments</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,627,832</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,086,862</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>49,863,740</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>8 </SUP><FONT   SIZE=1 FACE=ARIAL>Preferred
  shares outstanding</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>9 </SUP><FONT   SIZE=1 FACE=ARIAL>Par value
  per share</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.010</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.001</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.001</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.010</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.010</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:23.5PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>10 </SUP><FONT   SIZE=1 FACE=ARIAL>Shares held
  in treasury</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,757,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:23.5PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>11 </SUP><FONT   SIZE=1 FACE=ARIAL>Common
  shares outstanding</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,957,093</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>27,018,774</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,418,859</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>34,449,693</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>63,942,536</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM style='border-top:1px solid black;border-right:1px solid black'>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:1px solid black;border-right:1px solid black'>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:1px solid black'>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:1px solid black'>
 <BR>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM>
 <P><FONT SIZE=1 FACE=ARIAL>47</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1px">
<TD VALIGN=TOP style="border-bottom:solid #7394C1 6px">&nbsp;
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="53%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>October 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>BlackRock<BR>
  Limited<BR>
  Duration<BR>
  Income Trust<BR>
  (BLW)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>BlackRock<BR>
  Preferred<BR>
  and Equity<BR>
  Advantage<BR>
  Trust<BR>
  (BTZ)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>BlackRock<BR>
  Strategic<BR>
  Bond Trust<BR>
  (BHD)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR  bgcolor=#E7ECF6>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:1pt'>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>Assets</B> </FONT> </P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investments
  at value, unaffiliated<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>916,465,094</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,645,791,043</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>96,005,435</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investments
  at value, affiliated<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investments
  in affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>77,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,994</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cash</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>459,217</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,433,274</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Foreign
  currency at value<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>131,351</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Receivable
  from investments sold</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,605,343</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,269,931</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>381,617</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Variation
  margin receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,860,541</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  gain on foreign currency exchange contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Interest
  receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14,216,297</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>18,988,818</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,752,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  appreciation on interest rate swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Other
  assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,796</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>938,956,786</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,688,345,363</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>98,182,393</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR style="font-size:10px">
<TD VALIGN=TOP>
<p>&nbsp;</p>
</td>
</tr>

<TR  bgcolor=#E7ECF6>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:15.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Liabilities</B></FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>109,286,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>88,290,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>413,123</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Payable for
  investments purchased</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>140,394,085</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,757,330</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>152,692</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Variation
  margin payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,234</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  loss on foreign currency exchange contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>922,551</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Loans
  payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Borrowed
  bonds at value<SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,759,975</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investments
  sold short at value</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>440,135</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Outstanding
  options written at value<SUP>6</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,130,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>TBA sale
  commitments<SUP>7</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  depreciation on interest rate swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Unrealized
  depreciation on credit default swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>313,338</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Interest
  payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,774,842</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>245,379</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Deferred
  income liability</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>65,081</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Interest
  rate floors at value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cash
  received as collateral</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Dividends
  payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>260,642</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,522,131</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20,589</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investment
  advisory fees payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>371,728</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>929,772</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>49,601</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Administration
  fees payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Deferred
  Trustees&#146; fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>77,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,994</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Payable to
  affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>22,039</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,990</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Trustees&#146;
  fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,448</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,714</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Other
  accrued expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>308,782</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>421,347</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>108,007</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>255,847,365</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>117,534,409</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>772,670</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR style="font-size:10px">
<TD VALIGN=TOP>
<p>&nbsp;</p>
</td>
</tr>

<TR  bgcolor=#E7ECF6>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695;padding:3pt'>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:15.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 COLOR="#005695" FACE=ARIAL><B>Preferred Shares at Redemption
Value</B></FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP   style='border-top:2px solid #005695;border-bottom:1px solid #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>$0.001 par
  value per share and $25,000 liquidation value per share, including dividends
  payable<SUP>8</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>462,276,473</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net Assets
  Applicable to Common Shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>683,109,421</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,108,534,481</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>97,409,723</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Composition
  of Net Assets Applicable to Common Shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Par value<SUP>9</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>36,890</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>51,828</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,058</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Paid-in
  capital in excess of par</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>701,305,214</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,206,156,456</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>98,443,594</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Cost of
  shares held in treasury<SUP>10</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Undistributed
  (distributions in excess of) net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>800,386</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(276,473</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>197,208</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Accumulated
  net realized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(172,492</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(45,444,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(517,503</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  unrealized appreciation (depreciation)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(18,860,577</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(51,952,955</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(720,634</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net assets
  applicable to common shareholders, October 31, 2007</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>683,109,421</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,108,534,481</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>97,409,723</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value<SUP>11</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>18.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>21.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>1 </SUP><FONT   SIZE=1 FACE=ARIAL>Consolidated
  Statement of Assets and Liabilities</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>2 </SUP><FONT   SIZE=1 FACE=ARIAL>Investments
  at cost, unaffiliated</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>933,594,349</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,693,312,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>96,726,069</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>3 </SUP><FONT   SIZE=1 FACE=ARIAL>Investments
  at cost, affiliated</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>4 </SUP><FONT   SIZE=1 FACE=ARIAL>Foreign
  currency at cost</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>130,848</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>5 </SUP><FONT   SIZE=1 FACE=ARIAL>Proceeds
  received</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14,285,318</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>6 </SUP><FONT   SIZE=1 FACE=ARIAL>Premiums
  received</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,426,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>7 </SUP><FONT   SIZE=1 FACE=ARIAL>Proceeds
  for TBA sale commitments</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>8 </SUP><FONT   SIZE=1 FACE=ARIAL>Preferred
  shares outstanding</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>18,480</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>9 </SUP><FONT   SIZE=1 FACE=ARIAL>Par value
  per share</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.001</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.001</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.001</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:21.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>10 </SUP><FONT   SIZE=1 FACE=ARIAL>Shares held
  in treasury</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:21.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><SUP>11 </SUP><FONT   SIZE=1 FACE=ARIAL>Common
  shares outstanding</FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>36,889,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>51,828,157</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,058,402</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=BOTTOM>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM style='border-top:1px solid black;border-right:1px solid black'>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:1px solid black;border-right:1px solid black'>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:1px solid black'>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM style='border-top:1px solid black'>
 <BR>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=BOTTOM>
 <BR>
 </TD>
 <TD VALIGN=BOTTOM>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=BOTTOM>
 <P ALIGN=RIGHT><FONT SIZE=1 FACE=ARIAL>48</FONT></P>
 </TD>
 </TR>
</table>

<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>

<tr>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</tr>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Statements of Operations<A NAME=A005></A></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="30%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>For the year ended October 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Broad<BR>
 Investment<BR>
 Grade 2009<BR>
 Term Trust Inc.<SUP>1<BR>
 </SUP>(BCT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Core<BR>
 Bond Trust<BR>
 (BHK)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 High Yield<BR>
 Trust<BR>
 (BHY)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Income<BR>
 Opportunity<BR>
 Trust<BR>
 (BNA)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Income<BR>
 Trust Inc.<BR>
 (BKT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP  style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT FACE="ARIAL" SIZE="1" COLOR="#005695"><B>Investment
Income</B> </FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>




<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP  style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,158,502</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,484,417</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,149,702</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28,944,530</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,455,219</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dividend income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32,154</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,606</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>29,926</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Foreign taxes withheld</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,097</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Income from affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>334</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>853</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,557</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Affiliated income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>52,860</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63,456</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,731</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,158,836</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,573,532</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,163,161</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>29,042,062</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,467,507</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<tr>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP  style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Expenses</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP  style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Investment advisory</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>221,437</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,263,497</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>727,265</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,268,956</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,680,534</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Administration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60,392</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>69,263</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>378,159</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>618,585</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Transfer agent</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,182</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,489</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,192</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,836</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>66,456</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Custodian</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63,355</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>249,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>113,949</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>231,868</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>268,396</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reports to shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,278</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>102,521</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33,297</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>118,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>155,712</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Directors/Trustees</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,093</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35,499</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,698</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>36,317</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Registration</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>932</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,073</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,987</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,345</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,782</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Independent accountants</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>43,608</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75,556</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,407</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75,692</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>75,973</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Legal</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,402</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63,123</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,523</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>56,054</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,381</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Officers&#146; fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>973</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,848</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,217</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,108</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,206</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Insurance</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,087</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,151</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,254</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,791</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Organization</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Auction agent</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Deferred Trustees&#146; fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>334</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>853</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,557</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Miscellaneous</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,158</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,697</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,253</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>48,243</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total expenses excluding interest expense and excise tax</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>467,231</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,890,646</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,088,396</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,284,208</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,073,933</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,986,285</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,050,907</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,308,893</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,442,611</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Excise tax</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>283,057</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750,288</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,876,931</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,139,303</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,593,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,516,544</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Less advisory fees waived</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Less fees paid indirectly</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(9,486</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(8,027</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(12,757</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(22,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>750,288</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,867,445</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,131,276</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,580,344</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,493,794</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,408,548</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,706,087</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,031,885</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,461,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,973,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<tr>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP  style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Realized and
 Unrealized Gain (Loss)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP  style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-top:1px solid #005695'>&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net realized gain on:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,932,807</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,479,994</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,379,781</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,100,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Foreign currency</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(243,679</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,864</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Futures and swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,641,007</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(561,310</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(14,906,137</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest rate floors</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,316</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,654</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,623</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>472,353</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>505,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>66,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Short sales</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(181,836</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(216,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(631,861</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>341,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,450,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,113,139</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(10,368,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net change in unrealized appreciation on:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,396,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,730,808</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,813,510</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Foreign currency</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>84,610</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Futures and swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,729,198</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,924,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,400,816</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest rate floors</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(993,376</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(224,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(232,716</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,301,793</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Short sales and borrowed bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(35,246</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,033</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,547,439</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,507,844</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,730,808</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(6,083,476</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,371,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,497</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,165,890</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>280,652</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,970,337</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,003,693</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dividends from Net Investment Income to Preferred
 Shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Net Increase (Decrease) in Net Assets
 Applicable to Common Shareholders Resulting from Operations</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,449,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,540,197</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,312,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,491,381</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,977,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>1 </SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Consolidated Statement of
 Operations.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>2 </SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Commencement of investment of operations
 for Preferred and Equity Advantage Trust was December 27, 2006. This
 information includes the initial investment by BlackRock Funding, Inc.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP COLSPAN=4>
 <P><FONT SIZE=1  FACE=ARIAL>See Notes
to Financial Statements.</FONT></P>
 </TD>
  </TR>
 <TR>
 <TD VALIGN=TOP COLSPAN=4>
 <P><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
  </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>49</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>


<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="56%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>For the year ended October 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Limited<BR>
 Duration<BR>
 Income Trust<BR>
 (BLW)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Preferred<BR>
 and Equity<BR>
 Advantage<BR>
 Trust<SUP>2<BR>
 </SUP>(BTZ)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Strategic<BR>
 Bond Trust<BR>
 (BHD)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Investment Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70,129,223</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59,961,405</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,972,023</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dividend income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,665,646</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,407</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Foreign taxes withheld</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(72,205</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Income from affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,008</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>629</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Affiliated income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70,158,369</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>83,554,846</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,979,059</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<tr>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Expenses</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Investment advisory</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,890,429</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,017,835</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>791,363</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Administration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Transfer agent</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,687</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,720</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,605</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Custodian</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>458,823</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>194,874</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>99,288</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reports to shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>192,757</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>140,899</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,092</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Directors/Trustees</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,093</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,388</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,395</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Registration</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,509</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,642</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Independent accountants</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>52,443</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,616</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,196</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Legal</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>82,107</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>56,724</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,601</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Officers&#146; fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,420</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,170</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,349</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Insurance</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,141</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55,998</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,517</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Organization</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Auction agent</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>766,268</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Deferred Trustees&#146; fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,008</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>629</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Miscellaneous</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>67,545</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>73,222</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,377</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total expenses excluding interest expense and excise tax</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,883,962</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,471,356</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,036,381</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,171,719</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,445,410</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>389,572</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Excise tax</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,538</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,055,681</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,931,304</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,425,953</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Less advisory fees waived</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(176,670</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Less fees paid indirectly</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(116,925)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(150,583</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,761</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:34.55PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,938,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,780,721</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,243,522</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55,219,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,774,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,735,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<tr>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:2px solid #005695'>&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Realized and
 Unrealized Gain (Loss)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
<TD VALIGN=TOP style='border-BOTTOM:1px solid #005695'>&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net realized gain on:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,056,888</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,920,106</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>999,009</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Foreign currency</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,379,054)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Futures and swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>442,248</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(29,263,030</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest rate floors</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(18,088,249</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Short sales</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,748,880</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,120,082</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(45,522,505</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>999,009</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net change in unrealized appreciation on:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(19,529,245)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(47,521,841</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,416,472</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Foreign currency</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(918,619)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Futures and swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(773,728)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,812,349</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Interest rate floors</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,296,027</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Short sales and borrowed bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85,208</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(21,221,592)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(51,952,955</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,416,472</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(18,101,510)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(97,475,460</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(417,463</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dividends from Net Investment Income to Preferred
 Shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(16,313,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Net Increase (Decrease) in Net Assets
 Applicable to Common Shareholders Resulting from Operations</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 face=arial>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37,118,103</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(49,014,905</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,318,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</table>

<BR>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>

 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>50</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Statements of Cash
 Flows<A NAME=A006></A></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="57%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>For the Year Ended October 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Core<BR>
 Bond Trust<BR>
 (BHK)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 High<BR>
 Yield Trust<BR>
 (BHY)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Income<BR>
 Opportunity<BR>
 Trust<BR>
 (BNA)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD COLSPAN=11 VALIGN=TOP style='border-bottom:1px solid #005695'>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Cash
 Flows Provided by (Used for) Operating Activities</B></FONT></P>
</TD>

</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net increase (decrease) in net assets resulting from
 operations, excluding dividends to preferred shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,540,197</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,312,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,491,381</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>


<TR BGCOLOR="#E7ECF5">
<TD COLSPAN=11 VALIGN=TOP style='border-bottom:1px solid #005695'>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Adjustments
 to Reconcile Net Increase (Decrease) in Net Assets Resulting from <BR>Operations
 to Net Cash from Operating Activities</B></FONT></P>
</TD>

</TR>




<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Purchases of long-term investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,941,701,638</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(45,730,396</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,429,447,517</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Proceeds from sales of long-term investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,733,431,910</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,761,581</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,211,685,787</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net proceeds (purchases) of short-term investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>889,872</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,609,785</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,896,196</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in borrowed bond agreements</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(80,490,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(85,383,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Amortization of premium and discount on investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,145,093</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(52,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,397,029</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net realized loss (gain) on investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,931,258</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,479,994</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,379,781</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in unrealized
 appreciation/depreciation on investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,396,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,730,808</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(34,707</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net effect of exchange rates on foreign currency</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>243,678</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,864</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in investments sold short and borrowed bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>80,405,639</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85,300,660</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in outstanding options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(573,431</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(610,347</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in TBA sale commitments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,630,377</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(12,762,315</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease in interest rate floor</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in unrealized appreciation
 (depreciation) on swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,779,656</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,004,890</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in credit default swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(44,465</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(49,874</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in investments in affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(852</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(6,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in receivable for investments sold</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(79,018,214</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(76,424</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(92,217,031</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Decrease in unrealized gain on foreign currency exchange
 contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>62,356</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in variation margin receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>348,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>613,478</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in interest receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(541,245</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187,539</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(563,244</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in other assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,210</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,902</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,891</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in payable for investments purchased</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>183,643,965</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,064,252</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>251,167,512</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease in payable for dollar rolls</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in unrealized loss on foreign currency exchange
 contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase in variation margin payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in interest payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300,147</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(40,863</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>444,016</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase in deferred income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in investment advisory fee payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70,571</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,609</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,049</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in cash with brokers as collateral</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(400,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in administration fee payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(33,664</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase in Deferred Directors/Trustees&#146; fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,101</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>852</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,247</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in payable to affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,945</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(664</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,248</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in Officers &amp; Trustees fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,882</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,667</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,560</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in accrued expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,363</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,260</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>77,837</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total adjustments</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(98,677,910</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,500,086</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(66,259,164</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net cash provided by (used for) operating activities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(82,137,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,812,623</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(48,767,783</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Cash flows provided by (used for)
 financing activities:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Capital contributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in reverse repurchase agreements</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>99,442,604</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70,935,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Draws on loan</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Payments on loan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(14,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in preferred shares at redemption value including
 dividends payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cash dividends paid</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(21,664,877</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,911,685</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(22,685,337</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Distributions to Preferred Shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net cash provided by (used for) financing activities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>77,777,727</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(14,911,685</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>48,250,017</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net increase (decrease) in cash</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,359,986</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(99,062</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(517,766</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cash and foreign currency at beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,562,413</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>162,231</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>540,788</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Cash and foreign currency at end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>202,427</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63,169</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,022</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cash paid during the period for interest</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,686,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,091,770</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,864,877</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Non cash financing activities not included herein consist
 of reinvestment of dividends of</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,289</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=2 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Commencement of investment of operations for Preferred and
 Equity Advantage Trust was December 27, 2006. This information includes the
 initial investment by BlackRock Funding, Inc.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>51</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD>
<HR SIZE=6 COLOR=#7394C1 NOSHADE WIDTH=100%>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="55%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>For the Year Ended October 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM nowrap>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Income Trust Inc.<BR>
 (BKT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Limited<BR>
 Duration<BR>
 Income Trust<BR>
 (BLW)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Preferred<BR>
 and Equity<BR>
 Advantage<BR>
 Trust<BR>
 (BTZ)<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>

<TR BGCOLOR="#E7ECF5">
<TD COLSPAN=11 VALIGN=TOP style='border-bottom:1px solid #005695'>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Cash
 Flows Provided by (Used for) Operating Activities</B></FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net increase (decrease) in net assets resulting from
 operations, excluding dividends to preferred shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,977,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37,118,103</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(32,701,335</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD COLSPAN=11 VALIGN=TOP style='border-bottom:1px solid #005695'>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>Adjustments
 to Reconcile Net Increase (Decrease) in Net Assets Resulting from<BR> Operations
 to Net Cash from Operating Activities</B></FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Purchases of long-term investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,648,040,603</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,075,694,027</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,036,455,711</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Proceeds from sales of long-term investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,705,505,681</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,184,331,730</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,384,949,447</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net proceeds (purchases) of short-term investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(453,891</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,048,518</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(29,250,052</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in borrowed bond agreements</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,681,719</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(13,832,286</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Amortization of premium and discount on investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,697,538</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,200,638</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(644,388</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net realized loss (gain) on investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,100,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,056,888</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,920,106</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in unrealized
 appreciation/depreciation on investments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(9,813,510</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,529,245</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,521,841</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net effect of exchange rates on foreign currency</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,379,053</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in investments sold short and borrowed bonds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(25,665,758</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,200,110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in outstanding options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,893,649</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,130,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in TBA sale commitments</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,189,494</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease in interest rate floor</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,789,109</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in unrealized appreciation
 (depreciation) on swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in credit default swaps</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(17,631,968</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>313,338</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in investments in affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(8,558</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,008</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in receivable for investments sold</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(282,517,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,213,569</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(17,269,931</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Decrease in unrealized gain on foreign currency exchange
 contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in variation margin receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,503,972</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,860,541</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in interest receivable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,027,688</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,254,444</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(18,988,818</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease (Increase) in other assets</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>24,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>56,737</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in payable for investments purchased</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>252,599,751</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>828,336</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,757,330</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Decrease in payable for dollar rolls</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(15,527,433</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in unrealized loss on foreign currency exchange
 contracts</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>885,571</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase in variation margin payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,068,671</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,254</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in interest payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(572,515</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,099,604</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>245,379</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase in deferred income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>65,081</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in investment advisory fee payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,351</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(51,146</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>929,772</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in cash with brokers as collateral</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in administration fee payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(43,151</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase in Deferred Directors/Trustees&#146; fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,558</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,008</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in payable to affiliates</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(33,285</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,531</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,990</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in Officers &amp; Trustees fees</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,507</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,448</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in accrued expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>174,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>83,711</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>421,347</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total adjustments</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33,620,318</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>126,979,573</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,658,190,436</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net cash provided by (used for) operating activities</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>60,597,724</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>164,097,676</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,690,891,771</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Cash flows provided by (used for)
 financing activities:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Capital contributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,228,660,977</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Increase (Decrease) in reverse repurchase agreements</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(36,795,262</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(110,712,624</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>88,290,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Draws on loan</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Payments on loan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Increase in preferred shares at redemption value including
 dividends payable</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>462,276,473</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cash dividends paid</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(23,699,970</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(52,954,140</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(69,589,460</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Distributions to Preferred Shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(16,313,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net cash provided by (used for) financing activities:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(60,495,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(163,666,764</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,693,325,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net increase (decrease) in cash</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>102,492</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>430,912</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,433,274</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cash and foreign currency at beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>108,402</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>159,656</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Cash and foreign currency at end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>210,894</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>590,568</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,433,274</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Cash paid during the period for interest</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,917,798</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,072,115</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,163,917</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD NOWRAP VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Non cash financing activities not included herein consist
 of reinvestment of dividends of</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,057,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,748,836</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>52</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=6 COLOR=#7394C1 NOSHADE WIDTH=100%>
</TD>
</TR>
</table>

<P><A NAME=A007></A><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Statements of Changes in Net Assets</FONT><BR>

<FONT SIZE=2 COLOR="#005695" FACE=ARIAL>For the years ended October 31, 2007 and 2006</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="39%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Broad Investment Grade 2009<BR>
 Term Trust Inc.<SUP>1 </SUP>(BCT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Core Bond Trust<BR>
 (BHK)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Net Increase
 (Decrease) in Net Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="14" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR  BGCOLOR="#E7ECF5">
<TD VALIGN=middle   style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Operations</B>
</FONT></P>
</TD>



<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,408,548</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,918,798</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,706,087</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,700,447</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net realized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(493,395</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>341,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(8,285,073</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net change in unrealized
appreciation/depreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>341,005</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,507,844</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,551,542</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net increase in net assets resulting from
operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,449,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,766,408</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,540,197</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,966,916</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Dividends and
 Distributions to Common Shareholders from:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,661,384</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,191,834</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(16,495,698</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(25,048,230</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>



<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(69,260</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(7,914,351</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Tax return of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,227,396</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,661,384</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,261,094</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(21,723,094</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(32,962,581</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>


















<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<tr>
<TD>&nbsp;

</TD>
</TR>
















<TR BGCOLOR="#E7ECF5">
<TD VALIGN=middle style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Capital Share
 Transactions:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reinvestment of common dividends</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total increase (decrease)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,212,339</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,494,686</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,182,897</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(11,995,665</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>



<tr>
<TD>&nbsp;

</TD>
</TR>








<TR BGCOLOR="#E7ECF5">
<TD VALIGN=middle   style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Net Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,781,318</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>43,276,004</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>373,518,124</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>385,513,789</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>End of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,568,979</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,781,318</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>368,335,227</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>373,518,124</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>End of year undistributed (distribution in excess of) net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,863,653</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,833,604</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,696,051</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,693,238</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-2PX'><FONT FACE=ARIAL SIZE=1><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:3PX'><FONT FACE=ARIAL SIZE=1>Consolidated Statement of
 Changes in Net Assets.</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="49%" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Limited Duration Income Trust<BR>
 (BLW)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Preferred and Equity<BR>
 Advantage Trust<SUP>1 </SUP>(BTZ)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Net Increase (Decrease) in Net Assets Applicable to
Common Shareholders</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="11" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Operations:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>55,219,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,596,055</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,774,125</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,120,082</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,589,905</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(45,522,505</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net change
 in unrealized appreciation/depreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(21,221,592</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,473,132</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(51,952,955</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dividends
 from net investment income to Preferred Shareholders:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(16,313,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 increase (decrease) in net assets applicable to common shareholders resulting
 from operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37,118,103</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,479,282</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(49,014,905</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Dividends and Distributions to Common
 Shareholders from:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(51,967,739</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(55,725,066</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(48,688,436</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,229,742</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Tax return
 of capital distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,074,826</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(760,960</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(24,171,991</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(55,272,307</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(56,486,026</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(72,860,427</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>



<tr>
<td>&nbsp;

</TD>
</TR>








<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Capital Share
Transactions:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net from
 the issuance of common shares</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,115,290,352</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 proceeds from the underwriters&#146; over-allotment exercised</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>113,370,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reinvestment
 of common dividends</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,057,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>251,427</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,748,836</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,057,525</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>251,427</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,230,409,813</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 increase (decrease)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(16,096,679</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,755,317</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,108,534,481</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>



<tr>
<td>&nbsp;

</TD>
</TR>






<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Net Assets Applicable to Common
 Shareholders</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Beginning
 of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>699,206,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>704,961,417</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>End of
 period</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>683,109,421</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>699,206,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,108,534,481</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>End of
 period undistributed (distribution in excess of) net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>800,386</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(36,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(276,473</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="94%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:-3PX'><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-TOP:3PX'><FONT SIZE=1 FACE=ARIAL>Commencement of investment operations
 for Preferred and Equity Advantage Trust was December 27, 2006. This
 information includes the initial investment by BlackRock Funding, Inc.</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1 FACE=ARIAL>53</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<HR SIZE=6 COLOR=#7394C1 NOSHADE WIDTH=100%>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="21%" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 High Yield Trust (BHY)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Income Opportunity Trust (BNA)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Income Trust Inc. (BKT)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Net Increase
 (Decrease) in Net Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="20" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Operations</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,031,885</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,211,671</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,461,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,514,794</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,973,713</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,352,044</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net realized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,450,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,067,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,113,139</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(7,330,378</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(10,368,025</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,937,674</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net change in unrealized
appreciation/depreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,730,808</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,444,627</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(6,083,476</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,965,246</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,371,718</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,267,311</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net increase in net assets resulting from
operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,312,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,588,329</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,491,381</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,149,662</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,977,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,557,029</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Dividends and
 Distributions to Common Shareholders from:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,927,807</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,175,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(20,862,233</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(22,238,524</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(18,808,452</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(21,910,288</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(8,976,694</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Tax return of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,874,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,162,198</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,978,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,576,693</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,927,807</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,175,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(22,736,803</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(33,377,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(23,786,627</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(27,486,981</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>











<tr>

<TD>&nbsp;

</TD>
</TR>







<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Capital Share
 Transactions:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reinvestment of common dividends</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,289</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>48,307</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total increase (decrease)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>397,019</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,461,404</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(5,245,422</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(13,227,754</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,190,779</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,929,952</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>

</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Net Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,385,237</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,923,833</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>384,850,299</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>398,078,053</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>414,460,172</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>418,390,124</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>End of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,782,256</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,385,237</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>379,604,877</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>384,850,299</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>417,650,951</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>414,460,172</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>End of year undistributed (distribution in excess of) net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>116,650</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,204</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>768,824</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(900,730</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(6,313,294</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(519,359</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="66%" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>BlackRock<BR>
 Strategic Bond Trust<BR>
 (BHD)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Net Increase (Decrease) in Net Assets Applicable to
Common Shareholders</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="8" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Operations:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,735,537</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,965,538</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>999,009</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(759,640</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net change
 in unrealized appreciation/depreciation</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,416,472</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,082,388</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dividends
 from net investment income to Preferred Shareholders:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 increase (decrease) in net assets applicable to common shareholders resulting
 from operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,318,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,288,286</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<tr>
<TD>&nbsp;

</TD>
</TR>






<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Dividends and Distributions to Common
 Shareholders from:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(6,521,963</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(6,969,104</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Tax return
 of capital distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(251,641</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(6,521,963</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(7,220,745</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>


<tr>
<TD>&nbsp;

</TD>
</TR>





<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Capital Share
Transactions:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net from
 the issuance of common shares</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 proceeds from the underwriters&#146; over-allotment exercised</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reinvestment
 of common dividends</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total increase
 (decrease)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(203,889</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,067,541</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

<tr>
<TD>&nbsp;

</TD>
</TR>





<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#4B73A5" FACE=ARIAL><B>Net Assets Applicable to Common
 Shareholders</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Beginning
 of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>97,613,612</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>96,546,071</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>End of
 period</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>97,409,723</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>97,613,612</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>End of
 period undistributed (distribution in excess of) net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>197,208</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(16,366</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
</TABLE>



<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>54</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="40%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Financial Highlights<A  NAME=A008></A></FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  COLOR="#005695" FACE=ARIAL><B>BlackRock Broad
 Investment Grade 2009 Term Trust Inc. (BCT)</B></FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="43%" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Year
 Ended October 31,</B></FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Per Share Operating
Performance</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net asset
 value, beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15.98</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Investment
 operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.40</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 increase (decrease) from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Dividends
 and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.42</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net asset
 value, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15.98</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Market
 price, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15.15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Total Investment
Returns<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>At net
 asset value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>At market
 value</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8.74</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>

<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Ratios to Average Net
Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Total
 expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net expenses
 excluding excise tax</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.16</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Supplemental
Data</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Average net
 assets (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,261</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,625</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,191</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,882</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Portfolio
 turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>116</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net assets,
 end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,569</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,781</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>43,276</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,255</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,381</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reverse
 repurchase agreements outstanding, end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,263</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,953</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Asset
 coverage, end of year<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,453</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reverse
 repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,865</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,055</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,409</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Reverse
 repurchase agreements weighted average interest rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Total investment return at market price, which can be
 significantly greater or lesser than the net asset value, may result in
 substantially different returns. Total investment returns excludes the
 effects of brokerage commissions. Total investment returns for less than a
 full year are not annualized. Past performance is not a guarantee of future
 results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Per $1,000 of reverse repurchase agreements outstanding.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>The information in the above Financial Highlights
 represents the operating performance for a common share outstanding, total
 investment returns, ratios to average net assets and other supplemental data
 for each period indicated. This information has been determined based upon
 financial information provided in the financial statements and market price
 data for the Trust&#146;s common shares.</FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>

 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>55</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Financial Highlights</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  COLOR="#005695" FACE=ARIAL><B>BlackRock Core Bond
 Trust (BHK)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="44%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Year
 Ended October 31,</B></FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Per Share Operating
Performance</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net asset value, beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.74</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.66</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.78</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.66</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net increase from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.00</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Tax return
 of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net asset value, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Market price, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13.69</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13.57</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Total Investment
Returns</B><SUP><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL>1</FONT></SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>At net asset value</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>At market value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.46</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.62</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Ratios to Average Net
Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.78</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.78</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOp style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=top >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Supplemental
Data</B></FONT></P>
</TD>
<TD VALIGN=top >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=top>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOp >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Average net assets (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>367,577</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>370,219</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>402,783</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>401,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>401,049</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>122</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>88</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>220</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>398</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>161</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Net assets, end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>368,335</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>373,518</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>385,514</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>411,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>398,540</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Reverse repurchase agreements outstanding, end of year
 (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>103,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,911</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>86,876</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>102,474</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>91,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Asset coverage, end of year<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,564</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>96,502</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,012</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,348</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Reverse repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,786</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>91,130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>145,094</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>67,591</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Reverse repurchase agreements weighted average interest
 rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.24</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Total investment return at market price, which can be
 significantly greater or lesser than the net asset value, may result in
 substantially different returns. Total investment returns excludes the effects
 of brokerage commissions. Total investment returns for less than a full year
 are not annualized. Past performance is not a guarantee of future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Per $1,000 of reverse repurchase agreements outstanding.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>The information in the above Financial Highlights
 represents the operating performance for a common share outstanding, total
 investment returns, ratios to average net assets and other supplemental data
 for each period indicated. This information has been determined based upon
 financial information provided in the financial statements and market price
 data for the Trust&#146;s common shares.</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT ><FONT  SIZE=1 FACE=ARIAL>56</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Financial Highlights</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  COLOR="#005695" FACE=ARIAL><B>BlackRock High Yield
 Trust (BHY)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="44%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Year
 Ended October 31,</B></FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Per Share Operating
Performance</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net asset value, beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.66</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net increase from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.67</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.94</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Tax return
 of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net asset value, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.91</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Market price, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Total Investment
Returns<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>At net asset value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26.24</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27.75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>At market value</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>) %</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(13.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>) %</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>32.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Ratios to Average Net
Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.16</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.69</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Net expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8.74</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12.16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Supplemental
Data</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Average net assets (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,435</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>48,176</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,104</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>48,186</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>41,326</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>69</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>102</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>156</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net assets, end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,782</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,385</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,924</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,914</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,438</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Loan outstanding, end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Asset coverage, end of year<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,490</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,488</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,310</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,645</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,308</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Loan average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>17,710</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,621</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Loan weighted average interest rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.75</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Total investment return at market price, which can be
 significantly greater or lesser than the net asset value, may result in
 substantially different returns. Total investment returns excludes the effects
 of brokerage commissions. Total investment returns for less than a full year
 are not annualized. Past performance is not a guarantee of future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Per $1,000 of reverse repurchase agreements outstanding.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>The information in the above Financial Highlights
 represents the operating performance for a common share outstanding, total
 investment returns, ratios to average net assets and other supplemental data
 for each period indicated. This information has been determined based upon
 financial information provided in the financial statements and market price
 data for the Trust&#146;s common shares.</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>

 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>57</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="50%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Financial Highlights</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2  COLOR="#005695" FACE=ARIAL><B>BlackRock Income
 Opportunity Trust (BNA)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="44%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Year
 Ended October 31,</B></FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Per Share Operating
Performance</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net asset value, beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.56</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Investment operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.62</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.57</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.72</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net realized
 and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net increase from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Dividends and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Net
 realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Tax return
 of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.66</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net asset value, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.56</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Market price, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Total Investment
Returns<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>At net asset value</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>At market value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.62</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Ratios to Average Net
Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.72</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.00</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.72</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Net expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.99</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR  style="font-size:5px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid  #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor="#e7ecf5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 COLOR="#005695" FACE=ARIAL><B>Supplemental
Data</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Average net assets (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>378,159</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>381,726</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>413,777</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>415,131</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>413,543</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Portfolio turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>196</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>131</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>396</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>46</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Net assets, end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>379,605</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>384,850</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>398,078</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>426,643</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>410,981</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Reverse repurchase agreements outstanding, end of year
 (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>105,262</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,326</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>120,179</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94,644</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>103,378</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Asset coverage, end of year<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,606</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,212</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,508</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Reverse repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>68,241</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>59,691</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>122,457</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>97,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>136,172</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>Reverse repurchase agreements weighted average interest
 rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.59</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Total investment return at market price, which can be
 significantly greater or lesser than the net asset value, may result in
 substantially different returns. Total investment returns excludes the
 effects of brokerage commissions. Total investment returns for less than a
 full year are not annualized. Past performance is not a guarantee of future
 results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>Per $1,000 of reverse repurchase agreements outstanding.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>The information in the above Financial Highlights
 represents the operating performance for a common share outstanding, total
 investment returns, ratios to average net assets and other supplemental data
 for each period indicated. This information has been determined based upon
 financial information provided in the financial statements and market price
 data for the Trust&#146;s common shares.</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT ><FONT  SIZE=1 FACE=ARIAL>58</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="36%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="63%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE color="#7394C1" ALIGN=CENTER>
</TD>
</TR>

<TR>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR="#005695">Financial Highlights</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2   FACE=ARIAL COLOR="#005695"><B>BlackRock Income Trust Inc. (BKT)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="37%" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT;   TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="14" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Year
  Ended October 31,</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT;   TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT;   TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Per Share Operating
Performance</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value, beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investment
  operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.44</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  increase from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.42</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Dividends
  and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Tax return
  of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Total dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.53</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.21</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Market
  price, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Total Investment
Returns<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>At net
  asset value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>At market
  value</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.69</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(14.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Ratios to Average Net
Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.84</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.98</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.00</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.99</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Supplemental Data</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Average net
  assets (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>412,390</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>413,597</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>430,035</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>447,984</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>472,676</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Portfolio
  turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>120</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>64</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net assets,
  end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>417,651</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>414,460</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>418,390</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>442,635</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>457,301</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements outstanding, end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>33,895</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>70,691</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>149,558</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>223,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>121,767</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Asset
  coverage, end of year<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,322</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,863</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,798</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,978</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>93,325</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>104,393</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>180,553</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>158,278</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>135,804</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements weighted average interest rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.21</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Total investment return at market price, which can be
  significantly greater or lesser than the net asset value, may result in
  substantially different returns. Total investment returns excludes the
  effects of brokerage commissions. Total investment returns for less than a
  full year are not annualized. Past performance is not a guarantee of future
  results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Per $1,000 of reverse repurchase agreements outstanding.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>

 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>59</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="29%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="70%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE color="#7394C1" ALIGN=CENTER>

</TD>
</TR>

<TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR="#005695">Financial Highlights</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2   FACE=ARIAL COLOR="#005695"><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="32%" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD HEIGHT=30 VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT;   TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD HEIGHT=30 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="11" HEIGHT=30 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Year
  Ended October 31,</B></FONT></P>
</TD>
<TD HEIGHT=30 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" ROWSPAN="3" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>For
  the Period<BR>
  July 30, 2003<SUP>1<BR>
  </SUP>through October 31,<BR>
  2003</B></FONT></P>
</TD>
<TD HEIGHT=30 VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT;   TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="11" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER STYLE='MARGIN-LEFT:8.65PT;   TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="19" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Per Share Operating
Performance</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="19" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value, beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19.74</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investment
  operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.46</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.46</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.94</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.43</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.60</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  increase from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Dividends
  and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  realized gains</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Tax return
  of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Capital
  charges with respect to issuance of Common shares</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>18.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19.74</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Market
  price, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>18.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>19.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>18.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="19" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Total Investment
Returns<SUP>3</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="19" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>At net
  asset value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.66</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>At market
  value</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(4.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17.31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(5.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14.64</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(4.77</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="17" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="19" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Ratios to Average Net
Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="19" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%<sup>4</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.19</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.82</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%<sup>4</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.91</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.79</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%<sup>4</sup></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.42</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>%<SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=LEFT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="19" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Supplemental Data</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="19" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Average net
  assets (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>696,946</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>698,382</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>722,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>730,369</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>686,655</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Portfolio
  turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>65</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>132</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>215</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>127</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net assets,
  end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>683,109</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>699,206</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>704,961</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>739,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>724,747</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements outstanding, end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>109,287</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>220,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>176,010</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>159,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>118,993</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Asset
  coverage, end of year<SUP>5</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,251</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,178</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,005</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,637</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,091</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>172,040</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>179,366</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>186,660</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>195,845</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>26,591</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements weighted average interest rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.28</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.96</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Commencement of investment operations. This information
  includes the initial investment by BlackRock Funding, Inc.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Net asset value, beginning of period, reflects a deduction
  of $0.90 per share sales charge from the initial offering price of $20.00 per
  share.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>3</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Total investment return at market price, which can be
  significantly greater or lesser than the net asset value, may result in
  substantially different returns. Total investment returns excludes the
  effects of brokerage commissions. Total investment returns for less than a
  full year are not annualized. Past performance is not a guarantee of future results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>4</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Annualized.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>5</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Per $1,000 of reverse repurchase agreements outstanding.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT ><FONT  SIZE=1 FACE=ARIAL>60</FONT></P>
 </TD>
 </TR>
</table>

<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="27%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="72%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE color="#7394C1" ALIGN=CENTER>
</TD>
</TR>

<TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR="#005695">Financial Highlights</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2   FACE=ARIAL COLOR="#005695"><B>BlackRock Preferred and Equity Advantage Trust (BTZ)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="81%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>

<TD WIDTH="4%"  VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>

<TD WIDTH="10%"  VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>

<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>For
  the Period<BR>
  December 27, 2006<SUP>1<BR>
  </SUP>through October 31,<BR>
  2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="7" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Per Common Share Operating
Performance</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="7" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value, beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P align=right><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>23.88</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investment
  operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Dividends
  to preferred shareholders from net investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.31</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  increase (decrease) from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Dividends
  and distributions to common shareholders from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Tax return
  of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.47</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Capital
  charges with respect to issuance of:</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Common
  shares</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Preferred
  shares</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  capital charges</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P align=right><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>21.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Market
  price, end of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P align=right><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>18.65</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="7" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Total Investment
Returns<SUP>3</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="7" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>At net
  asset value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(4.42</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>At market
  value</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(20.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="7" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Ratios to Average Net Assets of
Common Shareholders<SUP><FONT   SIZE=1 FACE=ARIAL>4,5</FONT></SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="7" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.90</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.88</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  expenses excluding interest expense and excise tax</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income available to common shareholders</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Preferred
  share dividends</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.64</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="7" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Supplemental Data</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="7" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Average net
  assets of common shareholders (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P align=right><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,177,716</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Portfolio
  turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>35</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net assets
  applicable to common shareholders, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P align=right><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,108,534</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements outstanding, end of period (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P align=right><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>88,291</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Asset
  coverage per preferred share, end of period<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P align=right><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>89,737</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P align=right><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>96,468</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements weighted average interest rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Commencement of investment operations. This information
  includes the initial investment by BlackRock Funding, Inc.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Net asset value, beginning of period, reflects a deduction
  of $1.125 per share sales charge from the initial offering price of $25.00
  per share.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT SIZE=1 FACE=ARIAL>3</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Total investment return at market price, which can be
  significantly greater or lesser than the net asset value, may result in
  substantially different returns. Total investment returns excludes the
  effects of brokerage commissions. Total investment returns for less than a
  full year are not annualized. Past performance is not a guarantee of future
  results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>4</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Annualized.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>5</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Ratios are calculated on the basis of income and expenses
  applicable to both the common and preferred shares relative to the average
  net assets of the common shareholders.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
<TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>

 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>61</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="34%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="65%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
</TD>
</TR>


<TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>




<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 FACE=ARIAL COLOR="#005695">Financial Highlights</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=2   FACE=ARIAL COLOR="#005695"><B>BlackRock Strategic Bond Trust (BHD)</B></FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="38%" VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="13" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Year
  Ended October 31,</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=1   FACE=ARIAL><B>2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=1   FACE=ARIAL><B>2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=1   FACE=ARIAL><B>2005</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=1   FACE=ARIAL><B>2004</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=center><FONT SIZE=1   FACE=ARIAL><B>2003</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Per Share Operating
Performance</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value, beginning of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12.63</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Investment
  operations:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.99</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.59</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  realized and unrealized gain (loss)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  increase (decrease) from investment operations</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.03</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.64</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Dividends
  and distributions from:</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.98</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.12</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Tax return
  of capital</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  dividends and distributions</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.02</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net asset
  value, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13.83</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13.68</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15.07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Market
  price, end of year</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.88</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12.85</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16.70</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Total Investment
Returns<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>At net
  asset value</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.26</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>32.55</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>At market
  value</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(0.62</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(18.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>21.54</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>37.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="15" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Ratios to Average Net
Assets</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Total
  expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.25</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.49</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  expenses</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.00</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.71</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  expenses excluding interest expense</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.87</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.94</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.01</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net
  investment income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.86</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.26</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.58</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9.23</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=BOTTOM >
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL><B>Supplemental Data</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM >
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Average net
  assets (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>98,130</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>96,003</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>101,990</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>106,330</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>98,498</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Portfolio
  turnover</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>34</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>56</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>51</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>31</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Net assets,
  end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>97,410</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>97,614</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>96,546</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>106,433</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>106,045</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements outstanding, end of year (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>413</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>14,951</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>31,883</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,188</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>45,872</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Asset
  coverage, end of year<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>236,789</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,529</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,028</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,071</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,312</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements average daily balance (000)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>21,104</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30,406</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>27,562</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>46,036</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reverse
  repurchase agreements weighted average interest rate</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.34</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.81</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3.20</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.33</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.51</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Total investment return at market price, which can be
  significantly greater or lesser than the net asset value, may result in
  substantially different returns. Total investment returns excludes the
  effects of brokerage commissions. Total investment returns for less than a
  full year are not annualized. Past performance is not a guarantee of future
  results.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-2px"><FONT FACE="ARIAL" SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Per $1,000 of reverse repurchase agreements outstanding.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=1 FACE=ARIAL>The information in the above
Financial Highlights represents the operating performance for a common share
outstanding, total investment returns, ratios to average net assets and other
supplemental data for each period indicated. This information has been
determined based upon financial information provided in the financial
statements and market price data for the Trust&#146;s common shares.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP colspan=4>
<P><FONT SIZE=1 FACE=ARIAL>See Notes to Financial Statements.</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
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<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3"><A  NAME=A009></A>Notes to Financial Statements </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Note 1. Organization &amp; Accounting Policies</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>BlackRock
Broad Investment Grade 2009 Term Trust Inc. (&#147;Broad Investment Grade&#148;),
BlackRock Core Bond Trust (&#147;Core Bond&#148;), BlackRock High Yield Trust (&#147;High
Yield&#148;), BlackRock Income Opportunity Trust (&#147;Income Opportunity&#148;), BlackRock
Income Trust Inc. (&#147;Income Trust&#148;), BlackRock Limited Duration Income Trust
(&#147;Limited Duration&#148;) and BlackRock Strategic Bond Trust (&#147;Strategic Bond&#148;) are
registered as diversified, closed-end management investment companies under the
Investment Company Act of 1940, as amended (the &#147;1940 Act&#148;). BlackRock
Preferred and Equity Advantage Trust (&#147;Preferred and Equity&#148;) is registered as
a non-diversified, closed-end management investment company under the 1940 Act.
Broad Investment Grade, Income Opportunity and Income Trust are organized as
Maryland corporations. Core Bond, High Yield, Limited Duration and Strategic
Bond are organized as Delaware statutory trusts. Broad Investment Grade, Core
Bond, High Yield, Income Opportunity, Income Trust, Limited Duration, Preferred
and Equity and Strategic Bond are individually referred to as a &#147;Trust&#148; and
collectively as the &#147;Trusts&#148;.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Preferred
and Equity was organized on October 26, 2006 and had no transactions until November
21, 2006 when the Trust sold 4,817 common shares for $115,006 to BlackRock
Funding, Inc. Investment operations for Preferred and Equity commenced on
December 27, 2006. The Trust incurred organization costs which were deferred
from the organization date until the commencement of operations.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>On December
3, 1999, Broad Investment Grade transferred a substantial portion of its total
assets to a 100% owned registered investment company subsidiary called BCT
Subsidiary, Inc. The financial statements and these notes to the financial
statements for Broad Investment Grade are consolidated and include the
operations of both Broad Investment Grade and its wholly owned subsidiary after
elimination of all intercompany transactions and balances.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The
following is a summary of significant accounting policies followed by the
Trusts.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Investments Valuation: </B><FONT FACE=ARIAL>The Trusts value most of
their investments on the basis of current market quotations provided by dealers
or pricing services selected under the supervision of each Trust&#146;s Board (the
&#147;Board&#148;) of Directors or Trustees, as appropriate (the &#147;Trustees&#148;). In
determining the value of a particular investment, pricing services may use
certain information with respect to transactions in such investments,
quotations from dealers, market transactions in comparable investments, various
relationships observed in the market between investments, and calculated yield
measures based on valuation technology commonly employed in the market for such
investments. Effective September 4, 2007, exchange-traded options are valued at
the mean between the last bid and ask prices at the close of the options market
in which the options trade and previously were valued at the last sales price
as of the close of options trading on applicable exchanges. Swap quotations are
provided by dealers selected under supervision of the Board. A futures contract
is valued at the last sale price as of the close of the commodities exchange on
which it trades. Short-term securities may be valued at amortized cost.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Bank loans
(&#147;loan interests&#148;) are valued in accordance with guidelines established by the
Board. Loan interests are valued at the average between the last available bid
prices from one or more brokers or dealers as obtained from Loan Pricing
Corporation (&#147;LPC&#148;). If no reliable price quotes are available, LPC values such
interests through the use of pricing matrixes. If the pricing service does not
provide a value for the loan interests, BlackRock Advisors, LLC (the
&#147;Manager&#148;), an indirect, wholly owned subsidiary of BlackRock, Inc., will value
the loan interests at fair value under methods approved by the Funds&#146; Board.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Investments
or other assets for which such current market quotations are not readily
available are valued at fair value (&#147;Fair Value Assets&#148;) as determined in good
faith under procedures established by, and under the general supervision and
responsibility of, each Trust&#146;s Board. The investment advisor and/or
sub-advisor will submit its recommendations regarding the valuation and/or
valuation methodologies for Fair Value Assets to a valuation committee. The
valuation committee may accept, modify or reject any recommendations. The
pricing of all Fair Value Assets shall be subsequently reported to the Board.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>When
determining the price for a Fair Value Asset, the investment advisor and/or
sub-advisor shall seek to determine the price that the Trust might reasonably
expect to receive from the current sale of that asset in an arm&#146;s-length
transaction. Fair value determinations shall be based upon all available
factors that the Manager deems relevant.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>In
September 2006, Statement of Financial Accounting Standards No. 157, <I>&#147;Fair Value Measurements&#148; </I>(&#147;FAS
157&#148;), was
issued and is effective for fiscal years beginning after November 15, 2007. FAS
157 defines fair value, establishes a framework for measuring fair value and
expands disclosures about fair value measurements. At this time, management is
evaluating the implication of FAS 157 and its impact on the Trusts&#146; financial
statements, if any, has not been determined.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>In
addition, in February 2007, Statement of Financial Accounting Standards No.
159, <I>&#147;The Fair Value Option for Financial
Assets and Financial Liabilities&#148; </I>(&#147;FAS 159&#148;), was issued and is
effective for fiscial years beginning after November 15, 2007. Early adoption
is permitted as of the beginning of a fiscal year that begins on or before
November 15, 2007, provided the entity also elects to apply the provisions of
FAS 157. FAS 159 permits entities to choose to measure many financial
instruments and certain other items at fair value that are not currently
required to be measured at fair value. FAS 159 also establishes presentation
and disclosure requirements designed to facilitate comparisons between entities
that choose different measurement attributes for similar types of assets and
liabilities. At this time, management is evaluating the implications of FAS 159
and its impact on the Trusts&#146; financial statements, if any, has not been
determind.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Investment Transactions and Investment Income: </B><FONT FACE=ARIAL>Investment transactions
are recorded on trade date. The cost of investments sold and the related gain
or loss is determined by use of the specific identification method, generally
first-in, first-out, for both financial reporting and federal income tax
purposes. Each Trust records interest income on an accrual basis and amortizes
premium and/or accretes discount on securities purchased using the interest
method. Dividend income is recorded on the ex-dividend date.</FONT></FONT></P>





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<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
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<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
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<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes to Financial Statements (continued) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Each trust
may from time to time purchase in the secondary market certain mortgage
pass-through securities packaged or master serviced by affiliates or
mortgage-related securities containing loans or mortgages originated by Merrill
Lynch &amp; Co., Inc. (&#147;Merrill Lynch&#148;) and The PNC Financial Services Group,
Inc. (&#147;PNC&#148;), both principal owners of BlackRock, Inc., or their affiliates,
including Midland Loan Services, Inc. It is possible under certain
circumstances, that Merrill Lynch Mortgage Investors, Inc. and PNC Mortgage
Securities Corp. or their affiliates, including Midland Loan Services, Inc.,
could have interest that are conflict with the holders of these mortgage-backed
securities, and such holders could have rights against Merrill Lynch Mortgage
Investors, Inc. and PNC Mortgage Securitites Corp. or their affiliates,
including Midland Loan Services, Inc.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Reverse Repurchase Agreements: </B><FONT FACE=ARIAL>The Trusts may enter into
reverse repurchase agreements with qualified third-party broker-dealers as
determined by and under the direction of the Trusts&#146; Board. Interest on the
value of reverse repurchase agreements issued and outstanding is based upon
competitive market rates at the time of issuance. At the time a Trust enters
into a reverse repurchase agreement, it will establish and maintain a
segregated account with the lender, containing liquid investment grade
securities having a value not less than the repurchase price, including accrued
interest of the reverse repurchase agreement.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Dollar Rolls: </B><FONT FACE=ARIAL>The Trusts may enter into dollar rolls in which a
Trust sells securities for delivery in the current month and simultaneously
contracts to repurchase substantially similar (same type, coupon and maturity)
securities on a specified future date. During the roll period the Trusts forgo
principal and interest paid on the securities. The Trusts will be compensated
by the interest earned on the cash proceeds of the initial sale and/or by the
lower repurchase price at the future date.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Loan Payable: </B><FONT FACE=ARIAL>High Yield has a $32 million committed credit facility
(the &#147;facility&#148;). Under the terms of the facility, the Trust borrows at the
London Interbank Offered Rate (&#147;LIBOR&#148;) plus facility and administrative fees.
In addition, the Trust pays a liquidity fee on the unused portion of the
facility. The Trust may borrow up to 33</FONT><SUP><FONT FACE=ARIAL>1</FONT></SUP><FONT FACE=ARIAL>/<SUB>3</SUB></FONT><FONT
FACE=ARIAL>% of its
total assets up to the committed amount. In accordance with the terms of the
facility, the Trust has pledged its portfolio assets as collateral for the
borrowing.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Bank Loans: </B><FONT FACE=ARIAL>In the process of buying, selling and holding bank
loans, a Trust may receive and/or pay certain fees. These fees are included in
the purchase price and may include facility fees, commitment fees, amendment
fees, commissions and prepayment penalty fees. These fees are amortized as
premium and/or accreted as discount over the term of the loan. When a Trust
buys a bank loan it may receive a facility fee and when it sells a bank loan it
may pay a facility fee. On an ongoing basis, a Trust may receive a commitment
fee based on the undrawn portion of the underlying line of credit portion of a
bank loan. In certain circumstances, a Trust may receive a prepayment penalty
fee upon the prepayment of a bank loan by a borrower. Other fees recieved by a
Trust may include covenant waiver fees and covenant modification fees.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>A Trust may
invest in multiple series or tranches of an issuer. A different series or
tranche may have varying terms and carry different associated risks.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Option Writing/Purchasing: </B><FONT FACE=ARIAL>When a Trust writes or
purchases an option, an amount equal to the premium received or paid by the
Trust is recorded as a liability or an asset and is subsequently adjusted to
the current market value of the option written or purchased. Premiums received
or paid from writing or purchasing options which expire unexercised are treated
by the Trust on the expiration date as realized gains or losses. The difference
between the premium and the amount paid or received on effecting a closing
purchase or sale transaction, including brokerage commissions, is also treated
as a realized gain or loss. If an option is exercised, the premium paid or
received is added to the cost of the purchase or the proceeds from the sale in
determining whether a Trust has realized a gain or a loss on investment transactions.
A Trust, as writer of an option, has no control over whether the underlying
securities may be sold (call) or purchased (put) and as a result bears the
market risk of an unfavorable change in the price of the security underlying
the written option.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Option
writing and purchasing may be used by the Trusts as an attempt to manage the
duration of positions, or collections of positions, so that changes in interest
rates do not adversely affect the targeted duration of the portfolio
unexpectedly. Duration is a measure of the price sensitivity of a security or a
portfolio to relative changes in interest rates. For instance, a duration of
&#147;one&#148; means that a portfolio&#146;s or a security&#146;s price would be expected to
change by approximately one percent with a one percent change in interest
rates, while a duration of five would imply that the price would move
approximately five percent in relation to a one percent change in interest
rates.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>A call
option gives the purchaser of the option the right (but not obligation) to buy,
and obligates the writer to sell (when the option is exercised), the underlying
position at the exercise price at any time or at a specified time during the
option period. A put option gives the holder the right to sell and obligates
the writer to buy the underlying position at the exercise price at any time or
at a specified time during the option period. The main risk that is associated
with purchasing options is that the option expires without being exercised. In
this case, the option expires worthless and the premium paid for the option is
considered the loss. The risk associated with writing call options is that a
Trust may forgo the opportunity for a profit if the market value of the
underlying position increases and the option is exercised. The risk in writing
put options is that a Trust may incur a loss if the market value of the
underlying position decreases and the option is exercised. In addition, the
Trust risks not being able to enter into a closing transaction for the written
option as the result of an illiquid market.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Stripped Mortgage-Backed Securities: </B><FONT FACE=ARIAL>Stripped mortgage-backed
securities are usually structured with two classes that receive different
proportions of the interest and principal distributions on a pool of mortgage
assets. In certain cases, one class will receive all of the interest (the
interest-only or &#147;IO&#148; class), while the other class will receive all of the
principal (the principal-only or &#147;PO&#148; class). The yield to maturity on IOs is
sensitive to the rate of principal repayments (including prepayments) on the
related underlying mortgage assets, and principal payments may have a material
effect on yield to maturity. If the underlying mortgage assets experience
greater than anticipated prepayments of principal, a Trust may not fully recoup
its initial</FONT></FONT></P>


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<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
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<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
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<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes to Financial Statements (continued) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>investment
in IOs. Such securities will be considered liquid only if so determined in
accordance with guidelines established by the Trustees.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Inverse Floating Rate Securities: </B><FONT FACE=ARIAL>The Trusts may invest in
inverse floating rate securities that pay interest at a rate that varies
inversely with interest rates. As interest rates rise, inverse floating rates
decline. The market value of such securities is more volatile than comparable
fixed rate securities.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Credit Default Swaps: </B><FONT FACE=ARIAL>Credit default swaps are
agreements in which one party pays fixed periodic payments to a counterparty in
consideration for a guarantee from the counterparty to make a specific payment
should a negative credit event take place. Risks arise from the possible
inability of the counterparties to meet the terms of their contracts.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>During the
term of the swap, changes in the value of the swap are recognized as unrealized
gains or losses by &#147;marking-to-market&#148; to reflect the market value of the swap.
When the swap is terminated, a Trust will record a realized gain or loss equal
to the difference between the proceeds from (or cost of) the closing
transaction and the Trust&#146;s basis in the contract, if any.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Trusts
are exposed to credit loss in the event of non-performance by the other party
to the swap. However, the Trusts closely monitor swaps and do not anticipate
non-performance by any counterparty.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Total Return Swaps: </B><FONT FACE=ARIAL>Total return swaps are agreements
in which one party commits to pay interest in exchange for a market-linked
return. To the extent the total return of the security or index underlying the
transaction exceeds or falls short of the offsetting interest rate obligation,
the Trust will receive a payment from or make a payment to the counterparty.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>During the
term of the swap, changes in the value of the swap are recognized as unrealized
gains or losses by &#147;marking-to-market&#148; to reflect the market value of the swap.
When the swap is terminated, a Trust will record a realized gain or loss equal
to the difference between the proceeds from (or cost of) the closing
transaction and the Trust&#146;s basis in the contract, if any.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Trusts
are exposed to credit loss in the event of non-performance by the other party
to the swap. However, the Trusts closely monitor swaps and do not anticipate
non-performance by any counterparty.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Interest Rate Swaps: </B><FONT FACE=ARIAL>In an interest rate swap,
one investor pays a floating rate of interest on a notional principal amount
and receives a fixed rate of interest on the same notional principal amount for
a specified period of time. Alternatively, an investor may pay a fixed rate and
receive a floating rate. Interest rate swaps are efficient as asset/liability
management tools. In more complex swaps, the notional principal amount may
decline (or amortize) over time.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>During the
term of the swap, changes in the value of the swap are recognized as unrealized
gains or losses by &#147;marking-to-market&#148; to reflect the market value of the swap.
When the swap is terminated, a Trust will record a realized gain or loss equal
to the difference between the proceeds from (or cost of) the closing
transaction and the Trust&#146;s basis in the contract, if any.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Trusts
are exposed to credit loss in the event of non-performance by the other party
to the swap. However, the Trusts closely monitor swaps and do not anticipate
non-performance by any counterparty.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Swap Options: </B><FONT FACE=ARIAL>Swap options are similar to options on securities
except that instead of selling or purchasing the right to buy or sell a
security, the writer or purchaser of the swap option is granting or buying the
right to enter into a previously agreed upon interest rate swap agreement at
any time before the expiration of the option. Premiums received or paid from
writing or purchasing options are recorded as liabilities or assets and are
subsequently adjusted to the current market value of the option written or
purchased. Premiums received or paid from writing or purchasing options which
expire unexercised are treated by a Trust on the expiration date as realized
gains or losses. The difference between the premium and the amount paid or
received on effecting a closing purchase or sale transaction, including
brokerage commission, is also treated as a realized gain or loss. If an option
is exercised, the premium paid or received is added to the cost of the purchase
or the proceeds from the sale in determining whether a Trust has realized a
gain or loss on investment transactions.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The main
risk that is associated with purchasing swap options is that the swap option
expires without being exercised. In this case, the option expires worthless and
the premium paid for the swap option is considered the loss. The main risk that
is associated with the writing of a swap option is the market risk of an
unfavorable change in the value of the interest rate swap underlying the
written swap option.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Swap
options may be used by the Trusts to manage the duration of the Trusts&#146;
portfolios in a manner similar to more generic options described above.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Interest Rate Floors: </B><FONT FACE=ARIAL>Interest rate floors are
similar to interest rate swaps, except that one party agrees to pay a fee,
while the other party pays the deficiency, if any, of a floating rate under a
specified fixed or floating rate.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Interest
rate floors are used by the Trusts to both manage the duration of the
portfolios and their exposure to changes in short-term interest rates. Selling
interest rate floors reduces a portfolio&#146;s duration, making it less sensitive
to changes in interest rates from a market value perspective. The Trusts&#146;
leverage provides extra income in a period of falling rates. Selling floors
reduces some of that extra income by partially monetizing it as an up front
payment which the Trusts receive.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Trusts
are exposed to credit loss in the event of non-performance by the other party
to the interest rate floor. However, the Trusts do not anticipate
non-performance by any counterparty.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Transaction
fees paid or received by the Trusts are recognized as assets or liabilities and
amortized or accreted into interest expense or income over the life of the
interest rate floor. The asset or liability is subsequently adjusted to the
current market value of the interest rate floor purchased or sold. Changes in
the value of the interest rate floor are recognized as unrealized gains and
losses.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Financial Futures Contracts: </B><FONT FACE=ARIAL>A futures contract is an
agreement between two parties to buy and sell a financial instrument for a set
price on a future date. Initial margin deposits are made upon entering into
futures contracts and can be either cash or securities. During the period the
futures contract is open, changes in the value of the contract are recognized
as unrealized gains or losses by &#147;marking-to-market&#148; on a daily basis to reflect
the market value of the contract at the end of each day&#146;s trading. Variation
margin pay-</FONT></FONT></P>




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<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>



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<PAGE>

<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes to Financial Statements (continued) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>ments are
made or received, depending upon whether unrealized gains or losses are incurred.
When the contract is closed, a Trust records a realized gain or loss equal to
the difference between the proceeds from (or cost of) the closing transaction
and the Trust&#146;s basis in the contract.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Financial
futures contracts, when used by the Trusts, help in maintaining a targeted
duration. Futures contracts can be sold to effectively shorten an otherwise
longer duration portfolio. In the same sense, futures contracts can be
purchased to lengthen a portfolio that is shorter than its duration target. Thus,
by buying or selling futures contracts, the Trusts attempt to manage the
duration of positions so that changes in interest rates do not change the
duration of the portfolio unexpectedly.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Forward Currency Contracts: </B><FONT FACE=ARIAL>The Trusts enter into
forward currency contracts primarily to facilitate settlement of purchases and
sales of foreign securities and to help manage the overall exposure to foreign
currency. A forward contract is a commitment to purchase or sell a foreign
currency at a future date (usually the security transaction settlement date) at
a negotiated forward rate. In the event that a security fails to settle within
the normal settlement period, the forward currency contract is renegotiated at
a new rate. The gain or loss arising from the difference between the settlement
value of the original and renegotiated forward contracts is isolated and is
included in net realized gains (losses) from foreign currency transactions.
Risks may arise as a result of the potential inability of the counterparties to
meet the terms of their contract.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Forward
currency contracts, when used by the Trusts, help to manage the overall
exposure to the foreign currency backing some of the investments held by the
Trusts. Forward currency contracts are not meant to be used to eliminate all of
the exposure to the foreign currency, rather they allow the Trusts to limit
their exposure to foreign currency within a narrow band to the objectives of
the Trusts.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Foreign Currency Translation: </B><FONT FACE=ARIAL>Foreign currency amounts are
translated into United States dollars on the following basis: </FONT></FONT></P>

<P style="margin-left:.82in;text-indent:-.47in"><FONT SIZE=2 FACE=ARIAL>(i)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;market
value of investment securities, assets and liabilities at the current rate of
exchange.</FONT></P>

<P style="margin-left:.8in;text-indent:-.44in"><FONT SIZE=2 FACE=ARIAL>(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;purchases and sales of investment securities, income and expenses&#151;at the rates
of exchange prevailing on the respective dates of such transactions.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>For fixed
income securities, the Trusts isolate that portion of the results of operations
arising as a result of changes in the foreign exchange rates from the
fluctuations arising from changes in the market prices of securities held at
period end. Similarly, the Trusts isolate the effect of changes in foreign
exchange rates from the fluctuations arising from changes in the market prices
of portfolio securities sold during the period.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Net
realized and unrealized foreign exchange gains and losses includes realized
foreign exchange gains and losses from sales and maturities of foreign
portfolio securities, sales of foreign currencies, currency gains or losses
realized between the trade and settlement dates on securities transactions, the
difference between the amounts of interest and discount recorded on the Trusts&#146;
books and the U.S. dollar equivalent amounts actually received or paid, and
changes in unrealized foreign exchange gains and losses in the value of portfolio
securities and other assets and liabilities arising as a result of changes in
the exchange rate.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Foreign
security and currency transactions may involve certain considerations and risks
not typically associated with those of domestic origin, including unanticipated
movements in the value of the foreign currency relative to the U.S. dollar.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Short Sales/Borrowed Bonds: </B><FONT FACE=ARIAL>The Trusts engage in short
selling of securities as a method of managing potential price declines in
similar securities owned by the Trust. When a Trust engages in short selling,
it may enter into a borrowed bond agreement to borrow the security sold short
and deliver it to the broker-dealer with which it engaged in the short sale. A
gain, limited to the price at which a Trust sold the security short or pursuant
to the borrowed bond agreement, or a loss, unlimited as to dollar amount, will
be recognized upon the termination of a short sale or borrowed bond agreement
if the market price is greater or less than the proceeds originally received.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Borrowed Bond Agreements: </B><FONT FACE=ARIAL>In a borrowed bond
agreement, each Trust borrows securities from a third party, with the
commitment that they will be returned to the lender on an agreed-upon date.
Borrowed bond agreements are primarily entered into to settle short positions.
In a borrowed bond agreement, the Trust&#146;s prime broker or third party broker
takes possession of cash as collateral. The Trusts receive interest income on
the cash collateral relating to the borrowed bond agreement and are obligated
to pay the prime broker or third party broker payments received on such
borrowed securities. The cash collateral approximates the principal amount of
the bonds borrowed transaction. To the extent that the bonds borrowed
transactions exceed one business day, the value of the collateral with any
counter-party is marked-to-market on a daily basis to ensure the adequacy of
the collateral. If the lender defaults and the value of the collateral declines
or if bankruptcy proceedings are commenced with respect to the lender of the
security, realization of the collateral by the Trust may be delayed or limited.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Trust Preferred Stock: </B><FONT FACE=ARIAL>These securities are
typically issued by corporations, generally in the form of interest-bearing
notes with preferred securities characteristics, or by an affiliated business
trust of a corporation, generally in the form of beneficial interests in
subordinated debentures or similarly structured securities. The securities can
be structured as either fixed or adjustable coupon securities that can have
either a perpetual or stated maturity date. Dividends can be deferred without
creating an event of default or acceleration, although maturity cannot take
place unless all cumulative payment obligations have been met. The deferral of
payments does not affect the purchase or sale of these securities in the open
market. Payments on these securities are treated as interest rather than
dividends for Federal income tax purposes. These securities can have a rating
that is slightly below that of the issuing company&#146;s senior debt securities.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>TBA Purchase Commitments: </B><FONT FACE=ARIAL>The Trusts may enter into to
be announced (&#147;TBA&#148;) commitments to purchase or sell securities for a fixed
price at a future date. TBA commitments are considered securities in
themselves, and involve a risk of loss if the value of the security to be
purchased or sold</FONT></FONT></P>

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<TR>
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 <P><FONT SIZE=1>&nbsp;</FONT></P>
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<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>66</FONT></P>
</TD>
</TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes to Financial Statements (continued) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>declines or
increases prior to settlement date, which is in addition to the risk of decline
in the value of the Trusts&#146; other assets. Unsettled TBA commitments are valued
at the current market value of the underlying securities, according to the
procedures described under &#147;Investments Valuation&#148;.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Mortgage Dollar Rolls: </B><FONT FACE=ARIAL>The Trusts may enter into
mortgage dollar rolls (principally using TBA commitments) in which the Trusts
sell mortgage securities for delivery in the current month and simultaneously
contract to repurchase similar, but not identical, securities at an agreed upon
price on a fixed date. The Trusts receive compensation, in either &#147;fee&#148; or
&#147;drop&#148;, as consideration for entering into the commitment to repurchase. A
Trust must maintain liquid securities having a value not less than the
repurchase price (including accrued interest) for such dollar rolls. The market
value of the securities that a Trust is required to purchase may decline below
the agreed upon repurchase price of those securities. In a &#147;fee&#148; roll, the
compensation received is recorded as deferred income and amortized to income
over the roll period. In a &#147;drop&#148; roll, the compensation is paid via a lower
price for the security upon its repurchase. The counterparty receives all
principal and interest payments, including prepayments, made in respect of a
security subject to such a contract while it is the holder. Mortgage dollar
rolls may be renewed with a new purchase and repurchase price and a cash
settlement made on settlement date without physical delivery of the securities
subject to the contract. A Trust engages in dollar rolls for the purpose of enhancing
its yield, principally by earning a negotiated fee.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Financing Transactions: </B><FONT FACE=ARIAL>The Trusts may enter into
financing transactions consisting of sales by a Trust of securities together
with a commitment to repurchase similar securities at a future date. The
difference between the selling price and the future purchase price is an
adjustment to interest income. If the counterparty to whom the Trust sells the
security becomes insolvent, a Trust&#146;s right to repurchase the security may be
restricted. The value of the security may change over the term of the financing
transaction.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Segregation: </B><FONT FACE=ARIAL>In cases in which the 1940 Act and the interpretive
positions of the Securities and Exchange Commission (the &#147;Commission&#148;) require
that each Trust segregate assets in connection with certain investments (e.g.,
when issued securities, reverse repurchase agreements, swaps or futures
contracts), each Trust will, consistent with certain interpretive letters
issued by the SEC, designate on its books and records cash or other liquid debt
securities having a market value at least equal to the amount that would
otherwise be required to be physically segregated.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Federal Income Taxes: </B><FONT FACE=ARIAL>It is each Trust&#146;s intention
to continue to be treated as a regulated investment company under the Internal
Revenue Code and to distribute sufficient amounts of their taxable income to
shareholders. Therefore, no federal income tax provisions have been recorded.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>In July
2006, the Financial Accounting Standards Board issued Interpretation No. 48
(&#147;FIN 48&#148;), &#147;Accounting for Uncertainty in Income Taxes &#151; an interpretation of
FAS Statement No. 109.&#148; FIN 48 prescribes the minimum recognition threshold a
tax position must meet in connection with accounting for uncertainties in
income tax positions taken or expected to be taken by an entity, including
mutual funds, before being measured and recognized in the financial statements.
Adoption of FIN 48 is required for the last net asset value calculation in the first required financial statement reporting
period for fiscal years beginning after December 15, 2006. The impact on the
Trusts&#146;, excluding Preferred and Equity, financial statements, if any, from FIN
48 is currently being assessed.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Effective
October 31, 2007, Preferred and Equity implemented Financial Accounting
Standards Board (&#147;FASB&#148;) Interpretation No. 48, &#147;Accounting for Uncertainty in
Income Taxes &#151; an interpretation of FASB Statement No. 109&#148; (&#147;FIN 48&#148;). FIN 48
prescribes the minimum recognition threshold a tax position must meet in
connection with accounting for uncertainties in income tax positions taken or
expected to be taken by an entity, including investment companies, before being
measured and recognized in the financial statements. Management has evaluated
the application of FIN 48 to Preferred and Equity and has determined that the
adoption of FIN 48 does not have a material impact on the financial statements.
Preferred and Equity will file its first Federal and state tax returns in 2008
for the period ended October 31, 2007.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Dividends and Distributions: </B><FONT FACE=ARIAL>Each Trust declares and pays
dividends and distributions to common shareholders monthly from net investment
income, net realized short-term capital gains and other sources, if necessary.
Net long-term capital gains, if any, in excess of loss carryforwards may be
distributed in accordance with the 1940 Act. If the total dividends and
distributions made in any tax year exceeds net investment income and
accumulated realized captial gains, a portion of the total distribution may be
treated as a tax-free return of capital. Dividends and distributions are
recorded on the ex-dividend date. Income distributions and capital gain
distributions are determined in accordance with income tax regulations which
may differ from accounting principles generally accepted in the United States
of America. Dividends and distributions to preferred shareholders are accrued
and determined as described in Note 7.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Estimates: </B><FONT FACE=ARIAL>The preparation of financial statements in conformity
with accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities including investment valuations at the date of the financial statements
and the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from these estimates and such differences may be
material.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Deferred Compensation and BlackRock Closed-End Share Equivalent
Investment Plan: </B><FONT FACE=ARIAL>Under the deferred compensation plan approved by each
Trust&#146;s Board, non-interested Trustees (&#147;Independent Trustees&#148;) defer a portion
of their annual complex-wide compensation. Deferred amounts earn an approximate
return as though equivalent dollar amounts had been invested in common shares
of the other BlackRock Closed-End Funds selected by the Independent Trustees.
These amounts are shown on the Statement of Assets and Liabilities as
&#147;Investments in Affiliates&#148;. This has approximately the same economic effect
for the Independent Trustees as if the Independent Trustees had invested the
deferred amounts directly in such Trusts.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The
deferred compensation plan is not funded and obligations thereunder represent
general unsecured claims against the general assets of the Trust.</FONT></P>



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</TD>
</TR>

<TR>
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<TR>
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<P><FONT SIZE=1 FACE=ARIAL>67</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>











<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes to Financial Statements (continued) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Each Trust
may, however, elect to invest in common shares of those Trusts selected by the
Independent Trustees in order to match its deferred compensation obligations.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Other: </B><FONT FACE=ARIAL>Expenses that are directly related to one of the
Trusts are charged directly to that Trust. Other operating expenses are
generally prorated to the Trusts on the basis of relative net assets of all the
BlackRock Closed-End Funds.</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Note 2. Agreements and Other Transactions with Affiliates and Related
Parties</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Each Trust
has an Investment Management Agreement with the Manager. BlackRock Financial
Management, Inc. (&#147;BFM&#148;), a wholly owned subsidiary of BlackRock, Inc., serves
as sub-advisor to Core Bond, Limited Duration, Preferred and Equity and
Strategic Bond. BlackRock Investment Management, LLC (&#147;BIM&#148;), a wholly owned
subsidiary of BlackRock, Inc., also serves as sub-advisor to Preferred and
Equity. Merrill Lynch and PNC are principal owners of BlackRock, Inc.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Broad
Investment Grade, High Yield, Income Opportunity and Income Trust each have an
Administration Agreement with the Advisor. The Investment Management Agreement
for Core Bond, Limited Duration, Preferred and Equity and Strategic Bond covers
both investment advisory and administration services.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Each
Trust&#146;s investment advisory fee paid to the Advisor is computed weekly and
payable monthly based on an annual rate, 0.55% for Broad Investment Grade,
0.60% for Income Opportunity and 0.65% for Income Trust, of each Trust&#146;s
average net assets and 0.55% for Core Bond and Limited Duration, 0.65% for
Preferred and Equity, 1.05% for High Yield and 0.75% for Strategic Bond, of
each Trust&#146;s average managed assets. &#147;Net assets&#148; means the total assets of the
Trust minus the sum of accrued liabilities. &#147;Managed assets&#148; means the total
assets of a Trust (including any assets attributable to any borrowing that may
be outstanding) minus the sum of accrued liabilities (other than debt
representing financial leverage). The Advisor has voluntarily agreed to waive a
portion of the investment advisory fees or other expenses on Strategic Bond as
a percentage of its average weekly managed assets as follows: 0.20% for the
first five years of the Trust&#146;s operations from 2002 through February 28, 2007,
0.15% through February 28, 2008, 0.10% through February 28, 2009 and 0.05%
through February 28, 2010.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Advisor
pays BFM fees for its sub-advisory services.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The
administration fee paid to the Advisor is computed weekly and payable monthly
based on an annual rate, 0.15% for Broad Investment Grade, 0.10% for Income
Opportunity, and 0.15% for Income Trust, of each Trust&#146;s average net assets and
0.10% for High Yield of the Trust&#146;s average managed assets.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Pursuant to
the advisory agreements, the Advisor provides continuous supervision of the
investment portfolio and pays the compensation of officers of each Trust who
are affiliated persons of the Advisor, as well as occupancy and certain
clerical and accounting costs of each Trust. Each Trust bears all other costs
and expenses, which include reimbursements to the Advisor for
cost of employees that provide pricing and secondary market support to each
Trust. These expenses are generally pro-rated to the Trusts on the basis of
relative net assets of all the BlackRock Closed-End Funds. For the year ended
October 31, 2007, the Trusts reimbursed the Advisor the following amounts,
which are included in miscellaneous expenses in the Statements of Operations:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="86%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,929</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,028</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,530</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22,733</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>26,282</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,990</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,617</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Pursuant to
the terms of their custody agreements, each Trust may receive earnings credits
from its custodian for positive cash balances maintained, which are used to
offset custody fees. These credits are shown on the Statements of Operations as
&#147;fees paid indirectly.&#148;</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>During the
year ended October 31, 2007, Merrill Lynch, through its affiliated broker
dealer Merrill Lynch, Pierce, Fenner &amp; Smith, Inc., earned commissions on
transactions of securities as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="82%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Commission<BR>
 Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>104,454</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>110,446</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>66,166</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,603</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>757,239</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>28</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>68</FONT></P>
</TD>
</TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZE=6 WIDTH="100%" NOSHADE COLOR="#7394C1" ALIGN=CENTER>
<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes to Financial Statements (continued) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Investments
in companies considered to be an affiliate of the Trusts, for purposes of
Section 2(a)(3) of the 1940 Act, were as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="99%">
<TR style="font-size:1px">
<TD WIDTH="9%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Portfolio<BR>
 Company</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Beginning<BR>
 Principal<BR>
 Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Purchases</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Sales</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Ending<BR>
 Principal<BR>
 Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Interest<BR>
 Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Market<BR>
 Value of<BR>
 Affiliates<BR>
 at October<BR>
 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Merrill Lynch</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,509,548</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,509,548</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,271</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Mortgage</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Investors, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ser. HE2,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Class A2A</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Merrill Lynch</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>925,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>925,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,589</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>933,463</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Mortgage Trust,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ser. C1,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Class AM</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Merrill Lynch</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,651,471</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,651,471</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,245</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Mortgage</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Investors, Inc.,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ser. HE2,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Class A2A</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Merrill Projects,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>152,326</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>102,166</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,465</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,662</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ser. 29</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Merrill Projects,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,398</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,145</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,253</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,746</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,745</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#e6e6e6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ser. 42</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Merrill Projects,</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,249</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,726</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,523</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,731</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,019</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Ser. 54</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Certain
officers and/or directors of the Trusts are officers and/or directors of
BlackRock, Inc. or its affiliates.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Note 3. Portfolio Securities</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Purchases
and sales of investment securities, other than short-term investments, dollar
rolls and U.S. government securities, for the year ended October 31, 2007 were
as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="62%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Purchases</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Sales</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,771,896</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,504,593</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>722,652,874</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>440,021,114</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,730,396</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,761,581</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000,463,875</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>694,999,046</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,181,095,299</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,209,086,090</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>654,114,184</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>991,030,609</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,424,297,184</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>773,130,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>34,511,252</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>56,088,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Purchases
and sales of U.S. government securities for the year ended October 31, 2007,
aggregated as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="62%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Purchases</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Sales</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,655,469</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,022,696</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>260,028,377</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>213,262,623</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>298,489,442</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>132,824,013</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>163,361,268</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>479,869,532</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>487,606,224</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>172,822</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>933,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
<TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>69</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>

<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Notes to Financial Statements (continued)</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Details of open forward currency contracts at October 31,
2007 were as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="25%" VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Foreign<BR>
 Currency</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Settlement<BR>
 Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Contract to<BR>
 Receive</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value at<BR>
 Settlement<BR>
 Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value at<BR>
 Unrealized<BR>
 October 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Appreciation</B><FONT  SIZE=1 FACE=ARIAL><BR>
 <B>(Depreciation)</B></FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Core</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Bought:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Japanese</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Yen</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>1/15/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>793,358,661</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,876,169</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,937,915</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>61,746</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Sold:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Euro</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>1/23/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,233,067</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,747,256</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,787,871</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(40,615</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,131</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Limited</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><B>Sold:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Euro</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>1/23/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,975,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>29,722,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,413,254</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(690,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>British</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Pounds</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>1/23/08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,195,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,540,239</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,771,890</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(231,651</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(922,551</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Income Trust held interest rate floors at October 31, 2007.
Under the agreement, Income Trust pays the excess, if any, of a fixed rate over
a floating rate. Income Trust received a transaction fee for the floor.
Transaction fees are amortized through the termination of the agreement.
Details of the interest rate floor held at October 31, 2007 were as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Variable<BR>
 Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Floating Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Effective<BR>
 Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Termination<BR>
 Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Amortized<BR>
 Cost</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Value at<BR>
 October 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Unrealized<BR>
 Appreciation<BR>
 (Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>145,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>12/25/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/25/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,603,115</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(953,577</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>649,538</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>96,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.95</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/27/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/25/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,243,216</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(443,318</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>799,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>12/15/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/15/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(916,771</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,244,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(327,829</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>39,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/15/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(716,795</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,042,470</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(325,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(4,479,897</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,683,965</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>795,932</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Details of open interest rate swaps at October 31, 2007 were
as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Fixed Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Floating Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Effective Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Termination Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Unrealized<BR>
 Appreciation<BR>
 (Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>41,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.510</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/29/04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/29/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,063,372</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>05/26/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>05/26/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>62,565</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.372</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/30/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/30/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(139,248</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.725</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Morgan Stanley</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/02/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/02/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(121,184</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/07/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/07/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>98,394</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.870</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>01/25/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>01/25/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,336</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.723</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/14/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/14/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>296,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.496</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Bank of America</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/28/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/28/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,016,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.025</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/21/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/21/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>66,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/29/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/29/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>41,734</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.002</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>01/08/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>01/08/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(178,865</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,545</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.411</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>02/05/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>147,914</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.295</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>02/08/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>02/08/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187,806</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.922</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/22/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/22/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(98,145</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/12/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/12/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,291</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.411</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/30/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/30/27</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,746</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.545</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/07/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/07/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(77,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.740</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/13/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/13/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(76,656</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/14/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/14/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(65,367</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.683</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/29/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/29/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(278,070</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.643</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/05/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/05/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(369,720</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.775</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/09/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/09/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(828,528</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.589</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/16/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/16/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,940,683</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/20/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/20/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>226,522</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>82,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.076</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/21/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/21/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>884,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.057</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Bank of America</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/22/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/22/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>485,112</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.771</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/23/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/23/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42,812</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.880</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/24/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/24/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>143,514</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>40,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.076</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Morgan Stanley</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/28/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>416,828</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.903</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Barclays</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/07/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/07/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,879</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>70</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>

<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Notes to Financial Statements (continued)</FONT></P>

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<TD WIDTH="8%" VALIGN=BOTTOM>
<P>&nbsp;</P>
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<P>&nbsp;</P>
</TD>
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<P>&nbsp;</P>
</TD>
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<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
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<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Fixed Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Floating Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Effective Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Termination Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Unrealized<BR>
 Appreciation<BR>
 (Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.040</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/12/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/12/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>67,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>(cont&#146;d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.624</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Credit Suisse International</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/20/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/20/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(52,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.365</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Bank of America</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/21/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/21/27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(55,120</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.155</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/21/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/21/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(51,666</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.261</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Morgan Stanley</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/28/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/28/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(61,132</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.308</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Barclays</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(226,458</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.307</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/18/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/18/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(88,884</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.856</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/19/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/19/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,194</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.005</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/22/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/22/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,569</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>656,428</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.399</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/25/04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/25/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>896,225</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.510</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/29/04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/29/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>356,178</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>05/26/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>05/26/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>67,034</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.372</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/30/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/30/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(150,852</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.670</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/20/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/20/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(191,440</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/07/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/07/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>106,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.723</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/14/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/14/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>321,724</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.496</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Bank of America</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/28/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/28/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,129,608</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.025</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/21/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/21/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>70,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/29/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/29/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>58,807</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.897</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>12/12/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>12/12/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>163,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.002</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>01/08/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>01/08/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(258,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.295</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>02/08/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>02/08/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>199,440</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.922</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/22/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/22/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(107,596</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.071</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/26/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/26/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/12/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/12/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,550</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.411</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/30/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/30/27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,755</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.545</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/07/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/07/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(87,030</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.740</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/13/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/13/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(89,432</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.850</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/14/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/14/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(72,630</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.683</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/29/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/29/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(308,295</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.643</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/05/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/05/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(409,536</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.775</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/09/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/09/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(916,096</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>46,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.589</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/16/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/16/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,184,663</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,405</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.411</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>162,801</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.105</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/20/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/20/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>250,916</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>91,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.076</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/21/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/21/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>975,520</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,600</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.057</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Bank of America</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/22/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/22/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>537,264</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.771</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/23/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/23/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>47,278</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>44,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.880</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/24/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/24/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>158,865</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>45,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.076</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Morgan Stanley</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/28/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/28/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>468,932</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>35,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.903</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Barclays</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/07/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/07/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,026</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.040</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/12/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/12/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>67,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>50,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.624</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Credit Suisse International</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/20/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/20/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(52,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.365</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Bank of America</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/21/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/21/27</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(61,321</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.155</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/21/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/21/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(56,880</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,700</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.261</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Morgan Stanley</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/28/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/28/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(68,324</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.308</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Barclays</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/15/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/15/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(251,073</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.307</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/18/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/18/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(98,760</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,300</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.856</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/19/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/19/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,553</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.005</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/22/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/22/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,313</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>802,786</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.889</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%<SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/22/04</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/22/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51,374</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.399</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>% <SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/25/04</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/25/14</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>407,375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>25,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.883</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/21/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/21/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(151,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.925</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/22/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>03/22/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,760</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>05/26/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>05/26/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>67,034</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.442</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Morgan Stanley</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/11/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/11/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(114,160</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.320</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/08/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/08/10</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(132,240</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.940</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>12/07/05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>12/07/15</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>213,220</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.870</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>01/25/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>01/25/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,869</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.723</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/14/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/14/16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>334,098</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.025</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/21/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/21/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>66,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>71</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>

<P><FONT SIZE=3 COLOR="#005695" FACE=ARIAL>Notes to Financial Statements</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="10%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="13%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Notional <BR>
 Amount<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Fixed Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Floating Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Effective Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Termination Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Unrealized<BR>
 Appreciation<BR>
 (Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%<SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/29/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/29/11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>83,468</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>(cont&#146;d)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11,900</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.295</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Union Bank of Switzerland</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>02/08/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>02/08/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>197,778</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Goldman Sachs</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/12/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>04/12/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,475</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>64,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.393</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Credit Suisse International</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/05/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/05/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,403,840</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.545</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/07/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/07/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(87,030</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,400</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.740</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/13/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/13/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(89,432</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.850</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/14/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/14/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(72,630</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.683</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Lehman Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/29/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/29/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(314,340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.383</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Credit Suisse International</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/16/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/16/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,234,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187,370</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.376</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Bank of America</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/20/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>07/20/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,950,315</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>165,647</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.505</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Bank of America</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/03/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/03/17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,401,736</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>9,565</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.411</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JPMorgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>02/05/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/15/22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>165,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,800</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.778</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Citibank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>3-month LIBOR</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/23/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/23/09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,396</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,715,476</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Trust pays fixed
 interest rate and receives floating rate.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>Trust pays floating
 interest rate and receives fixed rate.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Details of open credit default swaps at October 31, 2007
were as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="18%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Notional<BR>
 (000)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Fixed Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Effective Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Termination Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Unrealized<BR>
 (Depreciation)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>Core
 Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1 Face=Arial>340</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1 Face=Arial>0.950</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1 Face=Arial>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1 Face=Arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1 Face=Arial>08/02/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1 Face=Arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1 Face=Arial>09/20/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1 Face=Arial>(462</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 Face=Arial>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>375</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1><SUP>(a</SUP><SUP><FONT  SIZE=1 FACE=ARIAL>)</FONT></SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Deutsche Bank</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>08/02/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>09/20/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(98</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.200</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>Morgan Stanley</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>05/23/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/20/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(156,669</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.200</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>JP Morgan</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>05/23/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>06/20/12</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(156,669</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(313,338</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>(a)</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>The terms were to
 receive the quarterly notional amount multiplied by the fixed rate and pay
 the counterparty, upon default of Lehman Brothers Holdings, Inc., the par
 value of the notional amount of Lehman Brothers Holdings, Inc.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>(b)</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>The terms were to
 receive the quarterly notional amount multiplied by the fixed rate and pay
 the counterparty, upon default of LCDX, the par value of the notional amount
 of LCDX.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Transaction in options written during the year ended October
31, 2007 were as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="49%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>

<TD VALIGN=BOTTOM colspan="5">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Calls</B></FONT></P>
</TD>

<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>

<TD VALIGN=BOTTOM colspan="5">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Puts</B></FONT></P>
</TD>



<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Contracts/<BR>
 Notional<BR>
 Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Premium<BR>
 Received</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Contracts/<BR>
 Notional<BR>
 Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Premium</B><FONT SIZE=1  FACE=ARIAL><BR>
 <B>Received</B></FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options outstanding</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>at October 31, 2006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,300,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>991,347</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>135,100,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,068,284</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,200,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>455,276</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>18,200,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>455,276</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options closed</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(11,600,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(315,851</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(125,400,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,392,787</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options outstanding</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>at October 31, 2007</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,900,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,130,772</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,900,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,130,773</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity
 Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options outstanding</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>at October 31, 2006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,400,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,085,069</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>148,200,041</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,236,554</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,700,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>491,847</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>19,700,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>491,847</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options closed</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(12,400,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(337,634</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(137,200,041</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,489,123</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options outstanding</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>at October 31, 2007</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,700,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,239,282</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,700,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,239,278</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options outstanding</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>at October 31, 2006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>23,500,000 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,088,815</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>150,100,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,223,745</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>160,860,047</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,960,873</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>160,860,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,875,117</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options closed</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(46,835,007</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(1,047,343</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options expired</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(16</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(27,150</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(173,435,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(2,169,641</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options outstanding</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>at October 31, 2007</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>137,525,024 </FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,975,195</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>137,525,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,929,221</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="75%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Calls</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Contracts/<BR>
 Notional<BR>
 Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Premium<BR>
 Received</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and
 Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options outstanding</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>at beginning of period</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options written</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,335,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>57,773,808</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options closed</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(3,079,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(52,286,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options expired</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(10,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>(60,705</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>Options outstanding</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>at October 31, 2007</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>245,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,426,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>72</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>
<TR>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>

<TR>
<TD VALIGN=TOP>
<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes
to Financial Statements </FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL><B>Note 4. Borrowings</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Details of
open reverse repurchase agreements at October 31, 2007 were as follows (please
see Corresponding Underlying Collateral Chart):</FONT></P>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="36%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="14" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust/Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Trade<BR>
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Maturity<BR>
  Date<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Net
  Closing<BR>
  Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Par</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="14" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Barclay&#146;s
  Bank</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/06/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,920,063</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,865,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.270</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/06/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,189,475</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,164,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.270</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/06/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,980,808</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,957,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.290</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/06/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,003,076</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,979,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.290</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/06/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,589,763</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,569,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.290</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/24/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,707,280</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,698,048</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20,232,048</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit
  Suisse First</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Boston LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,014,479</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,002,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,771,977</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,761,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/11/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60,535,343</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>60,371,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/11/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,016,020</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,010,325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>66,144,325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/02/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,963,295</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,929,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/23/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,000,939</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,997,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/26/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,423,047</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,421,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/31/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/07/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,051,794</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,051,794</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,400,869</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/19/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>576,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>576,450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Barclay&#146;s
  Bank</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/06/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,317,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,229,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/06/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,973,243</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,949,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/07/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>643,038</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>635,357</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,407,495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,391,796</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/15/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,362,693</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,337,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,335,584</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,321,488</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,054,810</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,033,040</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,528,732</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,501,940</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,628,615</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,611,360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.120</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/21/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,082,805</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,071,980</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/22/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,766,799</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,739,420</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/22/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,716,619</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,699,632</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,171,977</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,164,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.160</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,681,490</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,670,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.160</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,490,686</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,480,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,800,757</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,788,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.140</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>845,757</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>840,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.160</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,929,182</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,916,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.290</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/14/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,083,390</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,069,100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>37,450,013</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit
  Suisse</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>First
  Boston LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/20/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,207,211</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,184,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/20/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,977,972</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,958,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/20/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,099,423</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,078,225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/20/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,914,329</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,895,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/20/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>614,394</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>608,190</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/30/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,593,878</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,580,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/30/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,187,338</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,177,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/30/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,174,224</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,164,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/31/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,933,171</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,915,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>08/31/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,603,740</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,590,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/10/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>26,408,268</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>26,333,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/11/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,518,266</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,506,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/18/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,278,469</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,270,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>51,259,340</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="36%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="14" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust/Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Trade<BR>Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Maturity<BR>Date<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Net Closing<BR>Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Par</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="14" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity (cont&#146;d)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8,485,395</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8,455,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/11/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,973,232</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,967,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/25/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/13/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,322,455</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,319,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/31/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/07/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,165,916</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,165,781</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15,908,456</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/19/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>643,703</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>643,703</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>24,280,081</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>24,280,113</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/02/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,035,595</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,036,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/02/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,073,107</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,073,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/02/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,505,251</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,506,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>33,895,363</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Barclay&#146;s
  Bank</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.220</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>04/24/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>967,952</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>942,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.220</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>05/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,508,542</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,392,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>05/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,834,245</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,709,751</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>05/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,005,043</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,876,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.220</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>05/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,890,798</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,764,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.220</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>05/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,775,313</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,651,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.220</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>05/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,093,874</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,013,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.220</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>05/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>571,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>556,605</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.200</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>05/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,091,825</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,019,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.220</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>07/09/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>771,546</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>759,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>31,685,381</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit
  Suisse</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>First
  Boston LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11/26/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,809,853</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,722,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12/05/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,565,373</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,316,812</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12/05/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,491,361</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,156,781</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12/07/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,997,342</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,864,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12/07/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,817,122</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,603,225</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>01/18/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,295,602</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,206,213</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>01/18/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,491,177</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,390,523</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>04/17/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,604,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,559,520</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/04/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,784,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,784,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>05/16/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,796,358</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,753,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>06/11/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,966,218</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,885,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>06/11/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,165,782</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,060,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>06/29/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,878,082</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,826,483</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.300</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>07/09/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,511,957</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,487,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>45,614,807</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7/26/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,474,583</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,384,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/06/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>937,210</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>888,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11/27/06</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>349,679</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>334,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>01/09/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,472,764</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,347,938</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.510</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>01/12/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,203,359</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,596,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.470</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>02/12/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,841,028</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,783,238</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.520</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>02/28/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>709,164</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>688,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.520</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>03/01/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,395,680</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,235,293</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1.250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>09/07/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,733,244</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,730,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>31,986,719</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity Advantage</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit
  Suisse</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:25.9PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>First
  Boston LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/04/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,988,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,988,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/22/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,290,535</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,285,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,273,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/23/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>27,566,470</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>27,535,875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/23/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,046,799</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,019,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/23/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,490,792</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,462,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>78,017,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10/19/07</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>TBD</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>413,123</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>413,123</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>TBD &#151; To be determined</FONT></P>
</TD>
</TR>
</table>
<BR>
<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>73</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>

<TR>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>

<TR>
<TD VALIGN=TOP>
<P><FONT FACE="ARIAL"  COLOR="#005695" SIZE="3">Notes
to Financial Statements
(continued) </FONT> </P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Details of
underlying collateral for open reverse repurchase agreements at October 31,
2007 were as follows:</FONT></P>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="29%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust/Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Maturity
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Original
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Current
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Market
  Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Barclay&#146;s
  Bank</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General
  Electric Capital Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/7/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,855,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,855,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,103,041</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Deutsche
  Telekom Intl. Finance BV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/23/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,007,887</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Verizon
  Virginia, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/15/2013</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,150,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,150,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,024,873</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AT&amp;T,
  Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/1/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,600,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,600,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,742,532</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Intl.
  Business Machines Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/14/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,760,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,760,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,786,375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.493</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>1/19/2012</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,300,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,300,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,246,860</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20,911,568</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit
  Suisse</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Eli Lilly
  &amp; Co.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/15/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,275,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,275,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,172,347</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S. Bank</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>2/1/2008</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,800,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,800,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,803,074</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  Home Loan Mortgage Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/1/2018</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,832,896</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,169,936</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,175,041</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>1/1/2018</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,536,110</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,041,164</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,029,288</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>7/1/2036</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,784,029</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,254,571</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,004,420</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>2/1/2036</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,116,625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>894,711</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>901,470</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>4/1/2036</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,091,509</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>908,081</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>914,940</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>4/1/2036</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,018,042</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>895,122</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>882,170</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>2/1/2036</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,134,707</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>891,461</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>898,195</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/1/2036</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,039,072</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>863,698</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>870,222</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>12/1/2035</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>44,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>42,351,254</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>41,778,926</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>10/1/2036</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,304,703</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,100,363</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,123,783</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/1/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,009,339</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>997,326</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>957,244</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>5/1/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,257,973</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,204,831</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,035,841</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Royal Bank
  of Scotland Group PLC</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.640</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>N/A<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,073,024</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>68,619,985</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Inflation Indexed Bonds</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>1/15/2027</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,220,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,220,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,523,085</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Notes</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/15/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,750,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,750,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10,986,833</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,509,918</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Michaels
  Stores, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/1/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>600,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>598,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Barclay&#146;s
  Bank</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General
  Electric Capital Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/7/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,610,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,610,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,885,360</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General
  Electric Capital Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/15/2032</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,900,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,900,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,120,377</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Berkshire
  Hathaway Finance Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>10/15/2008</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,025,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,025,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,997,982</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.493</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>1/9/2012</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,620,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,620,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,561,707</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Citigroup,
  Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>2/22/2010</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,425,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,425,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,384,488</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bank of
  America Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>2/15/2010</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,450,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,450,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,597,750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Eli Lilly
  &amp; Co.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/15/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,800,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,800,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,718,780</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Johnson
  &amp; Johnson</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/15/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,120,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,120,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,171,362</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bank of
  America Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/1/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,850,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,850,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,905,373</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Bank of
  America NA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.100</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/15/17</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,740,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,740,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,780,847</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/28/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,200,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,200,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,228,642</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Kraft
  Foods, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/11/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,670,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,670,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,813,260</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Societe
  Generale</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.922</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>N/A<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,575,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,575,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,498,912</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AstraZeneca
  Plc</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.450</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/15/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,825,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,825,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,923,044</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Citigroup,
  Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/25/2036</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>900,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>900,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>877,919</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>AT&amp;T,
  Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/1/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,980,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,980,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,088,544</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Intl.
  Business Machines Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/14/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,200,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,200,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,232,968</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,787,315</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit
  Suisse</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>UBS
  Preferred Funding Trust I</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.622</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>N/A<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,170,314</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/9/2026</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,100,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,100,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,069,773</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wells Fargo
  Bank NA</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/21/10</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,124,152</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Allstate
  Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>5/15/2057</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,150,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,150,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,084,728</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>General
  Electric Capital Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/15/2032</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>570,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>570,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>636,113</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Vodafone
  Group Plc</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.288</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>12/28/2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,615,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,615,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,615,326</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>United
  Technologies Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>5/1/2015</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,250,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,250,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,209,314</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Amgen, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.585</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/28/2008</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,200,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,200,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,197,836</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ConocoPhillips
  Australia Funding Co.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.343</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>4/9/2009</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,970,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,970,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,964,845</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Wyeth</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.950</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>4/1/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,690,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,690,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,671,373</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>1/1/2033</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,270,578</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,219,377</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,147,618</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>2/1/2033</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,464,674</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,144,495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,073,600</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>2/1/2035</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,014,015</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,066,745</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,030,676</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>7/1/2035</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>15,659,841</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>13,178,821</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12,661,887</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>10/1/2020</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,641,812</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,178,209</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,180,664</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/1/2021</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>677,502</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>561,380</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>562,448</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/1/2036</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,001,094</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>912,150</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>898,951</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/1/2021</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>654,254</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>539,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>540,276</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/1/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>910,396</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>896,952</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>903,619</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>JP Morgan
  Chase Capital XXV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>10/1/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,375,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,375,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,370,175</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>53,113,688</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
</table>

<BR>
<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>74</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>

<TR>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>

<TR>
<TD VALIGN=TOP>
<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes
to Financial Statements
(continued) </FONT> </P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="29%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust/Counter Party</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Description</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Rate</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Maturity
  Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Original
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Current
  Face</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Market
  Value</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="17" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1 FACE=ARIAL>Income Opportunity (cont&#146;d)</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Notes</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/15/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,415,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,415,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9,622,422</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Resolution
  Funding Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>4/15/2030</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,055,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,055,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,018,561</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  Home Loan Mortgage Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.067</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>1/1/2035</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,644,276</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,881,935</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,858,585</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>7/1/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,539,074</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>481,759</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>484,728</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/1/2018</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,172,428</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>485,682</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>488,057</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/1/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,217,577</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>496,702</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>499,351</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  National Mortgage Assoc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/1/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,622,323</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,075,243</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,080,979</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,052,683</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Michaels
  Stores, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/1/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>670,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>670,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>668,325</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Strip Principal</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/15/2024</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>56,630,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>56,630,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>24,656,589</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Resolution
  Funding Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>0.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>4/15/2030</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12,440,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>12,440,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,147,135</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Federal
  Home Loan Mortgage Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/1/2022</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,083,988</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,641,353</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,650,273</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>34,453,997</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Barclay&#146;s
  Bank</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Huntsman
  LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>10/15/2010</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,495,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,495,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,584,700</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Midwest
  Generation LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.560</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>1/2/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,180,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,324,265</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,648,585</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Turkey</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/26/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,093,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,093,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,328,806</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Columbia</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>9.750</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>4/23/2009</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,144,495</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,543,887</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Group 1
  Automotive, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/15/2013</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Rite Aid
  Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>5/1/2010</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,429,659</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,031,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Freeport-McMoRan
  Copper &amp; Gold, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>4/1/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,034,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,034,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,322,230</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Comcast
  Cable Communications LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/15/2009</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,907,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,907,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,980,881</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Reynolds
  American, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/1/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>756,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>756,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>817,930</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>35,258,269</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit
  Suisse</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Rouse Co.
  LP</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/26/2013</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,812,352</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Deutsche
  Telekom Intl. Finance BV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/15/2010</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,361,380</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Daimler
  Finance North America LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/4/2008</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,500,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,500,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,439,415</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>DR Horton,
  Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5.875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>7/1/2013</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,688,714</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>JC Penney
  Corp., Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/1/2010</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,400,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,400,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,687,540</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Comcast
  Cable Communications LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/15/2009</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,185,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,185,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,240,532</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Windstream
  Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/1/2013</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,340,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,340,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,474,550</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sanmina-SCI
  Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/1/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,710,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,710,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,500,525</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Michaels
  Stores, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/1/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,800,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,800,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,793,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Celestica,
  Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.625</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>7/1/2013</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,965,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,965,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,886,400</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Chesapeake
  Energy Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/15/2013</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,110,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>American
  Real Estate Partners LP/American</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Real Estate
  Finance Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/1/2012</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,390,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,390,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,430,425</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Qwest Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8.875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/15/2012</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,640,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,640,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,890,800</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Rite Aid
  Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>3/1/2017</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,628,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,628,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,514,040</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>46,829,673</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>NewPage
  Corp</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.606</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>5/1/2012</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,500,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,500,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,616,250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Metaldyne
  Corp.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10.000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/1/13</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>930,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Grant
  Prideco Inc</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.125</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/15/2015</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>380,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>380,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>381,900</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Notes</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>9/15/2009</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,425,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,425,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,391,284</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Notes</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>12/15/2008</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>17,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,881,799</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Notes</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4.250</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>8/15/2015</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,815,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,815,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,801,388</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>U.S.
  Treasury Notes</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3.875</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>5/15/2009</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,945,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,945,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,937,105</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Sally
  Holdings LLC</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>10.500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/15/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,790,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,790,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,781,050</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>32,720,776</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Credit
  Suisse</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Michaels
  Stores, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/1/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,000,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,987,500</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>ICICI Bank
  Ltd.</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7.250</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>N/A<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,600,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,600,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,128,298</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11,115,798</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Lehman
  Brothers</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>BOI Capital
  Funding No. 3</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.107</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>N/A<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>30,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>27,601,950</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>State
  Street Capital Trust IV</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.694</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>6/15/2037</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>28,305,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>28,305,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,559,273</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Swiss Re
  Capital I LP</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6.854</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>N/A<SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,000,000</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,215,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>78,376,398</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Morgan
  Stanley</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'><FONT   SIZE=1 FACE=ARIAL>Michaels
  Stores, Inc.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11.375</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL>11/1/2016</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>430,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>430,000</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>428,925</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-LEFT:8.65PT;TEXT-INDENT:-8.65PT'>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:-3PX"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE="MARGIN-TOP:3PX"><FONT SIZE=1 FACE=ARIAL>The security is a perpetual bond and has no stated
  maturity date.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>75</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
</TD>
</TR>

<TR>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>

<TR>
<TD VALIGN=TOP>
<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes
to Financial Statements
(continued) </FONT> </P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL><B>Note 5. Commitments</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Bridge Debt Commitments: </B><FONT FACE=ARIAL>Limited Duration may invest
in floating rate senior loans. In connection with these investments, Limited
Duration may, with its Manager, also enter into senior unsecured bridge
financing commitments. Bridge financing commitments may obligate Limited
Duration to furnish temporary financing to a borrower until permanent financing
can be arranged. These commitments range in duration from 43 to 294 days. At
October 31, 2007, Limited Duration had outstanding bridge financing commitments
of $20,740,000. In connection with these commitments, Limited Duration earns a
commitment fee, typically set as a percentage of the commitment amount. Such
fee income, which is classified in the statement of operations as interest
income, is recognized ratably over the commitment period. During the year ended
October 31, 2007, Limited Duration earned $254,615 in commitment fee income and
the unrecognized commitment fee income is recoded on the statement of assets
and liabilities as &#147;deferred income liability.&#148;</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Note 6. Income Tax Information</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>No
provision is made for U.S. federal taxes as it is the portfolios intention to
continue to qualify for and elect the tax treatment applicable to regulated
investment companies under Subchapter M of the Internal Revenue Code of 1986,
as amended, and to make the requisite distributions to its shareholders which
will be sufficient to relieve it from federal income and excise taxes.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Dividends
from net investment income and distributions from net capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States. These Book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid-in-capital, undistributed net investment income, or
accumulated net realized gain, as appropriate, in the period the difference
arise.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Reclassification of Capital Accounts: </B><FONT FACE=ARIAL>The following permanent
differences as of October 31, 2007, attributable to swap income/(loss),
transactions involving foreign securities and currencies, expiration of capital
loss carryfor-wards and other differences between financial reporting and tax
accounting were reclassified to the following accounts.</FONT></FONT></P>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="45%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Undistributed
  Net<BR>
  Investment Income/<BR>
  Distributions in Excess<BR>
  of Net Investment Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Accumulated<BR>
  Gain/(Loss)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Paid
  In<BR>
  Capital</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="13" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>282,885</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>172</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(283,057</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>786,797</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(786,797</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,368</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,556,500</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(2,558,868</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,070,069</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1,070,069</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(5,959,196</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>39,067,148</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(33,107,952</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(2,414,790</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,414,790</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(48,592</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>78,130</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(29,538</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>The tax
character of distributions paid during the year ended October 31, 2007 and 2006
were as follows:</FONT></P>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="40%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="11" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Year
  ended October 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="14" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Distributions<BR>
  Paid from:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Ordinary<BR>
  Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Non-taxable<BR>
  Return of<BR>
  Capital</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Long-term<BR>
  Capital Gains</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Total<BR>
  Distributions</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="14" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,490,035</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,490,035</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>11,064,934</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,227,386</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>16,292,320</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,927,807</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,927,807</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20,862,233</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,874,570</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>22,736,803</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>18,808,452</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,978,175</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>23,786,627</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>51,967,739</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>1,074,826</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,229,742</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>55,272,307</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>65,002,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>24,171,991</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>89,173,997</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,521,963</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,521,963</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="42%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="11" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Year
  ended October 31, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="14" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Distributions<BR>
  Paid from:</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Ordinary<BR>
  Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Non-taxable<BR>
  Return of<BR>
  Capital</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Long-term<BR>
  Capital Gains</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Total<BR>
  Distributions</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="14" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,241,016</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>20,078</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,261,094</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>25,048,230</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,914,351</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>32,962,581</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,175,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,175,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>22,238,533</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>2,162,198</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>8,976,685</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>33,377,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>21,910,288</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>5,576,693</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>27,486,981</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>55,725,066</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>760,960</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>56,486,026</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR BGCOLOR="#E6E6E6">
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>6,969,104</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>251,641</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>7,220,745</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P STYLE='MARGIN-RIGHT:0IN; MARGIN-LEFT:0IN'><FONT SIZE=2 FACE=ARIAL>As of October 31, 2007, the
components of distributable earnings on a tax basis were as follows:</FONT></P>

<TABLE ALIGN=CENTER  BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="54%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Undistributed<BR>
  Ordinary<BR>
  Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Undistributed<BR>
  Long-term<BR>
  Gains/<BR>
  Capital Loss<BR>
  Carryforward<BR>
  Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1   FACE=ARIAL><B>Unrealized<BR>
  Gain/(Loss)<BR>
  Net</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="11" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>4,855,266</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(3,222,226</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(287,678</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(2,423,603</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(9,296,969</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(833,467</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>148,061</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(36,514,583</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(3,298,228</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(4,794,548</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(1,062,523</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(66,753,313</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>3,726,058</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(18,232,683</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(49,741,712</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(47,853,961</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>214,202</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(447,113</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1   FACE=ARIAL>(808,018</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>)</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORder=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>76</FONT></P>
 </TD>
 </TR>
</table>

<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>

<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3">Notes to Financial Statements (concluded) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>For federal
income tax purposes, the following Trusts had capital loss carry-forward as of
their last respective tax year-end. These amounts may be used to offset future
realized capital gains, if any:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="71%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Capital
 Loss<BR>
 Carryforward<BR>
 Amount</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Expires</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="3" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,061,303</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>684,360</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>479,567</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,225,230</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,643,266</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,270,311</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2008</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15,159,280</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2009</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,468,860</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2010</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,771,417</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>316,410</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,060,533</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,467,773</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2015</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>36,514,584</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,451,626</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,342,922</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2015</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,794,548</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,352,206</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2008</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,940,898</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2009</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,960,613</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2011</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>10,100,201</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2012</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3,861,222</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2013</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,952,429</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8,585,744</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2015</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>66,753,313</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>



<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,741,712</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2015</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>




<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>

<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>447,113</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2014</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 2px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
</TABLE>

<p><font SIZE=2 FACE=ARIAL><B>Note 7. Capital</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>There are
200 million of $0.01 par value common shares authorized for Broad Investment
Grade, Income Opportunity and Income Trust. There are an unlimited number of
$0.001 par value common shares authorized for Core Bond, High Yield, Limited
Duration, Preferred and Equity and Strategic Bond. At October 31, 2007, the
shares owned by an affiliate of the Advisor of Limited Duration and Preferred
and Equity were 6,021 and 4,817, respectively.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Preferred
and Equity, which commenced on December 27, 2006, issued 47,004,817 common
shares under the initial public offering. On February 1, 2007, an additional
4,750,000 shares were issued by the underwriters exercising their
over-allotment option. Offering costs incurred in connection with the offering
of common shares have been charged against the proceeds from the initial common
share offering in the amount of $1,367,957.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>During the
years ended October 31, 2007 and 2006, the following Trusts issued additional
shares under their respective dividend reinvestment plan:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="59%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>October
 31, 2007</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>October
 31, 2006</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1,496</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6,259</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>107,367</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>13,785</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>73,340</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>As of
October 31, 2007, Preferred and Equity has the following series of preferred
shares outstanding as listed in the table below. The preferred shares have a
liquidation value of $25,000 per share plus any accumulated unpaid dividends.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="81%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Series</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Shares</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>T7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>W7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>R7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>F7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4,620</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Dividends
on seven-day preferred shares are cumulative at a rate which is reset every
seven days based on the results of an auction. The dividend ranges on the
preferred shares for Preferred and Equity for the period ended October 31, 2007
were as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="56%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Series</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Low</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>High</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Average</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>T7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.40</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.38</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>W7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.40</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>R7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>4.99</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.30</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.39</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>F7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.00</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>6.35</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5.36</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL><B>Note 8. Subsequent Events</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Subsequent
to October 31, 2007, the Board of each of the Trusts declared dividends per
common share payable November 30, 2007, to shareholders of record on November
15, 2007. The per share common dividends declared were as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="81%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" COLSPAN="2" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="13%" COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="4" VALIGN=BOTTOM nowrap>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Common
 Dividend<BR>
 Per Share</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.04900</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.06700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.05100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.05500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.03100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.12500</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.15625</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.07700</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>The
dividends declared on preferred shares for the period November 1, 2007 to
November 30, 2007 for Preferred and Equity were as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="87%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Series</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="3" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Dividends<BR>
 Declared</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>T7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>458,581</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>W7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>455,301</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>R7</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>567,983</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>F7</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>574,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD WIDTH=25>
</TD>
<TD WIDTH=11>
</TD>
<TD WIDTH=17>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>On November
29, 2007, Broad Investment Grade&#146;s Board of Trustees approved a Plan of
Liquidation and Dissolution. Accordingly, the Broad Investment Grade will liquidate
substantially all of its assets on or about the close of business on December
31, 2009.</FONT></P>



<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="25%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>

 </TR>

 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>77</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>








<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3"><A NAME=A010></A>Report of Independent Registered Public
Accounting Firm </FONT></P>

<p><FONT SIZE=2 FACE=ARIAL>To the
Directors/Trustees and Shareholders of:<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock
Broad Investment Grade 2009 Term Trust Inc. <BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock Core Bond Trust <BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock High Yield Trust <BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock Income Opportunity Trust <BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock Income Trust Inc.<BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock Limited Duration Income Trust <BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock Preferred and Equity Advantage Trust <BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock Strategic Bond Trust <BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Collectively the &#147;Trusts&#148;)</FONT></p>

<P><FONT SIZE=2 FACE=ARIAL>We have
audited the accompanying statements of assets and liabilities of the Trusts,
including the portfolios of investments, as of October 31, 2007, and the
related statements of operations for the year then ended, the statements of
changes in net assets and the financial highlights for each of the periods
presented. We have also audited the statements of cash flows of BlackRock Core
Bond Trust, BlackRock High Yield Trust, BlackRock Income Opportunity Trust,
BlackRock Income Trust Inc., BlackRock Limited Duration Income Trust and
BlackRock Preferred and Equity Advantage Trust, for the year ended October 31,
2007. These financial statements and financial highlights are the
responsibility of the Trusts&#146; management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>We
conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. The Trusts are not required to have, nor were we engaged to
perform, an audit of their internal control over financial reporting. Our
audits included consideration of internal control over financial reporting as a
basis for designing audit procedures that are appropriate in the circumstances,
but not for the purpose of expressing an opinion on the effectiveness of the
Trusts&#146; internal control over financial reporting. Accordingly,
we express no such opinion. An audit also includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
Our procedures included confirmation of securities owned as of October 31,
2007, by correspondence with the custodian and brokers; where replies were not
received from brokers, we performed other auditing procedures. We believe that
our audits provide a reasonable basis for our opinion.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>In our
opinion, the financial statements and financial highlights referred to above
present fairly, in all material respects, the financial position of the Trusts
as of October 31, 2007, the results of their operations and the cash flows of
BlackRock Core Bond Trust, BlackRock High Yield Trust, BlackRock Income
Opportunity Trust, BlackRock Income Trust Inc., BlackRock Limited Duration
Income Trust and BlackRock Preferred and Equity Advantage Trust, for the year
then ended, the changes in their net assets and the financial highlights for
each of the periods presented, in conformity with accounting principles
generally accepted in the United States of America.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Deloitte
&amp; Touche <FONT FACE=ARIAL>LLP</FONT></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Boston,
Massachusetts <BR>
December 28, 2007</FONT></P>






<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="25%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>

 </TR>

 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ><FONT  SIZE=1 FACE=ARIAL>78</FONT></P>
 </TD>
 </TR>
</table>

<BR>






<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
<P><A NAME=A011></A><FONT FACE="ARIAL" SIZE="3" COLOR="#005695">The Benefits and Risks of Leveraging
(unaudited) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Trusts
may utilize leveraging through borrowings or issuance of short-term debt
securities or shares of Preferred Stock. The concept of leveraging is based on
the premise that the cost of assets to be obtained from leverage will be based
on short-term interest rates on borrowings or dividend rates on the Preferred
Stock, which normally will be lower than the income earned by each Trust on its
longer-term portfolio investments. To the extent that the total assets of each
Trust (including the assets obtained from leverage) are invested in
higher-yielding portfolio investments, each Trust&#146;s Common Stock shareholders
will be the beneficiaries of the incremental yield.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>As of
October 31, 2007, the Trusts had the following leverage amounts to total net
assets before the deduction of leverage of:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="86%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="3%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL><B>Leverage%</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>22%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>14%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>33%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Leverage creates
risks for holders of Common Stock including the likelihood of greater net asset
value and market price volatility. In addition, there is the risk that
fluctuations in interest rates on borrowings or in the dividend rates on any
Preferred Stock may reduce the Common Stock&#146;s yield and negatively impact its
net asset value and market price. If the income derived from securities
purchased with assets received from leverage exceeds the cost of leverage, each
Trust&#146;s net income will be greater than if leverage had not been used.
Conversely, if the income from the securities purchased is not sufficient to
cover the cost of leverage, each Trust&#146;s net income will be less than if
leverage had not been used, and therefore the amount available for distribution
to Common Stock shareholders will be reduced.</FONT></P>





<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="25%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>

 </TR>

 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>79</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>






<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
<P><FONT FACE="ARIAL" COLOR="#005695" SIZE="3"><A NAME=A012></A>Dividend Reinvestment Plans (unaudited) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Pursuant to
each Trust&#146;s respective Dividend Reinvestment Plan (the &#147;Plan&#148;), common
shareholders of Broad Investment Grade, Income Opportunity and Income Trust may
elect, while shareholders of Core Bond, High Yield, Limited Duration, Preferred
and Equity and Strategic Bond are automatically enrolled, to have all
distributions of dividends and capital gains reinvested by Computershare Trust Company,
N.A. (the &#147;Plan Agent&#148;) in the respective Trust&#146;s shares pursuant to the Plan.
Shareholders who do not participate in the Plan will receive all distributions
in cash paid by check and mailed directly to the shareholders of record (or if
the shares are held in street or other nominee name, then to the nominee) by
the Plan Agent, which serves as agent for the shareholders in administering the
Plan.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>After Broad
Investment Grade declares a dividend or determines to make a capital gain
distribution, the Plan Agent will acquire shares for the participants&#146; account,
by the purchase of outstanding shares on the open market, on the Trust&#146;s
primary exchange or elsewhere (&#147;open market purchases&#148;). The Trust will not
issue any new shares under the Plan.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>After Core
Bond, High Yield, Income Trust, Limited Duration, Preferred and Equity and/or
Strategic Bond declares a dividend or determines to make a capital gain
distribution, the Plan Agent will acquire shares for the participants&#146; account,
depending upon the circumstances described below, either (i) through receipt of
unissued but authorized shares from the Trust (&#147;newly issued shares&#148;) or (ii)
by open market purchases. If, on the dividend payment date, the net asset value
per share (&#147;NAV&#148;) is equal to or less than the market price per share plus
estimated brokerage commissions (such condition being referred to herein as
&#147;market premium&#148;), the Plan Agent will invest the dividend amount in newly
issued shares on behalf of the participants. The number of newly issued shares
to be credited to each participant&#146;s account will be determined by dividing the
dollar amount of the dividend by the NAV on the date the shares are issued.
However, if the NAV is less than 95% of the market price on the payment date,
the dollar amount of
the dividend will be divided by 95% of the market price on the payment date.
If, on the dividend payment date, the NAV is greater than the market value per
share plus estimated brokerage commissions (such condition being referred to
herein as &#147;market discount&#148;), the Plan Agent will invest the dividend amount in
shares acquired on behalf of the participants in open-market purchases.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>At a
meeting of the Board of Trustees of the Income Opportunity Trust on November
21, 2006, the Board approved an amendment to the Dividend Reinvestment Plan of
the Income Opportunity Trust. The Plan previously operated in a manner similar
to Broad Investment Grade&#146;s Plan, and permitted shares to be purchased only on
the open market. As a result of the amendment, the Plan will permit purchases
of newly issued shares on terms similar to the Plans described in the next
paragraph. This amendment took effect on April 1, 2007.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Plan
Agent&#146;s fees for the handling of the reinvestment of dividends and
distributions will be paid by each Trust. However, each participant will pay a
pro rata share of brokerage commissions incurred with respect to the Plan
Agent&#146;s open market purchases in connection with the reinvestment of dividends
and distributions. The automatic reinvestment of dividends and distributions
will not relieve participants of any Federal income tax that may be payable on
such dividends or distributions.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Each Trust
reserves the right to amend or terminate the Plan. There is no direct service
charge to participants in the Plan; however, each Trust reserves the right to
amend the Plan to include a service charge payable by the participants.
Participants who request a sale of shares through the Plan Agent are subject to
a $2.50 sales fee and a $0.15 per share sold brokerage commission. All
correspondence concerning the Plan should be directed to the Plan Agent at 250
Royall Street, Canton, MA 02021 or (800) 699-1BFM.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR BGCOLOR="#E7ECF5">
<TD VALIGN=TOP style='border-top:2px solid  #005695;border-bottom:1px solid  #005695;padding:3pt'>
<P><FONT SIZE=1 COLOR="#005695" FACE=ARIAL><B>BlackRock Privacy Principles</B><A  NAME=A013></A></FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>BlackRock
is committed to maintaining the privacy of its current and former fund
investors and individual clients (collectively, &#147;Clients&#148;) and to safeguarding
their nonpublic personal information. The following information is provided to
help you understand what personal information BlackRock collects, how we
protect that information and why in certain cases we share such information
with select parties.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>If you are
located in a jurisdiction where specific laws, rules or regulations require
BlackRock to provide you with additional or different privacy-related rights
beyond what is set forth below, then BlackRock will comply with those specific
laws, rules or regulations.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>BlackRock
obtains or verifies personal nonpublic information from and about you from
different sources, including the following: (i) information we receive from you
or, if applicable, your financial intermediary, on applications, forms or other
documents; (ii) information about your transactions with us, our affiliates, or
others; (iii) information we receive from a consumer reporting agency; and (iv)
from visits to our Web sites.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>BlackRock
does not sell or disclose to nonaffiliated third parties any non-public
personal information about its Clients, except as permitted by law or as is
necessary to service Client accounts. These nonaffiliated third parties are
required to protect the confidentiality and security of this information and to
use it only for its intended purpose.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>We may
share information with our affiliates to service your account or to provide you
with information about other BlackRock products or services that may be of
interest to you. In addition, BlackRock restricts access to nonpublic personal
information about its Clients to those BlackRock employees with a legitimate
business need for the information. BlackRock maintains physical, electronic and
procedural safeguards that are designed to protect the nonpublic personal
information of its Clients, including procedures relating to the proper storage
and disposal of such information.</FONT></P>








<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="25%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>

 </TR>

 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ><FONT  SIZE=1 FACE=ARIAL>80</FONT></P>
 </TD>
 </TR>
</table>

<BR>





<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZE=6 WIDTH="100%" NOSHADE COLOR=#7394C1 ALIGN=CENTER>
<P><A NAME=A014></A><FONT FACE="ARIAL" SIZE="3" COLOR="#005695">Additional Information (unaudited) </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>TAX NOTICE</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The
following information is provided with respect to the distributions paid by the
BlackRock Closed-End Funds for the fiscal year ended October 31, 2007:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="32%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="15%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="10%" VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Payable
 Date</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Federal<BR>
 Obligation<BR>
 Interest<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Interest
 Related<BR>
 Dividends for<BR>
 Non- U.S.<BR>
 Residents<SUP>2</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Long-Term<BR>
 Capital Gains<BR>
 Per Share ($)</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade 2009 Term Trust (BCT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/30/06 &#150;1/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.48</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>2/28/07 &#150; 10/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.13</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>42.10</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield Trust (BHY)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/30/06 &#150; 1/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.08</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>58.91</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>2/28/07 &#150; 10/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.78</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>87.67</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity Trust (BNA)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/30/06 &#150; 1/31/06</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8.24</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>51.11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>2/28/07 &#150; 10/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust (BKT)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/30/06 &#150; 1/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>7.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>58.17</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>2/28/07 &#150; 10/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12.22</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>84.45</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration Income Trust (BLW)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/30/06 &#150; 1/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>57.97</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>2/28/07 &#150; 9/30/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>10/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.93</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>0.060444</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity Advantage Trust (BTZ)*</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>1/31/07 &#150; 10/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.31</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond Trust (BHD)</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>11/30/06 &#150; 1/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2.50</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>57.18</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#e6e6e6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>2/28/07 &#150; 10/31/07</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>3.76</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>

<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>

</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 width="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style='margin-top:-2px'><FONT SIZE=1 FACE=ARIAL>*</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style='margin-top:-2px'><FONT SIZE=1 FACE=ARIAL>Of the ordinary distributions paid by Preferred and Equity
 Advantage Trust, 37 percent consist of qualified dividend income for
 individuals and dividends qualifying for the dividends received deduction for
 corporations.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style='margin-top:-2px'><FONT FACE="ARIAL" SIZE="1"><SUP>1</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style='margin-top:2px'><FONT SIZE=1 FACE=ARIAL>The law varies in each state as to whether and what
 percentage of dividend income attributable to Federal Obligations is exempt
 from state income tax. We recommend that you consult your tax advisor to
 determine if any portion of the dividends you received is exempt from state
 income taxes.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style='margin-top:-2px'><FONT FACE="ARIAL" SIZE="1"><SUP>2</SUP> </FONT></P>
</TD>
<TD VALIGN=TOP>
<P style='margin-top:2px'><FONT SIZE=1 FACE=ARIAL>Represents the portion of the distributions paid that are exempt
 from U.S withholding tax for nonresident aliens and foreign corporations.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>In January
2008, a form 1099-DIV will be sent to shareholders which will state the amount
and composition of distributions and provide information with respect to their
appropriate tax treatment.</FONT></P>


<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="25%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>

 </TR>

 <TR>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-RIGHT:8.65PT; '><FONT  SIZE=1 FACE=ARIAL>81</FONT></P>

 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>ANNUAL
 REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT FACE=ARIAL SIZE=1>OCTOBER
 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P><FONT FACE=ARIAL SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD>
<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>
</TD>
</TR>
</table>

<P><FONT  COLOR=#005695 SIZE=3 FACE=ARIAL>Additional Information (unaudited)
(continued)</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL><B>Shareholder Meetings</B></FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Joint
Annual Meeting of Shareholders was held on August 16, 2007 for shareholders of
record on June 20, 2007, to elect director or trustee nominees of each Trust.
This proposal was part of the reorganization of the Trust&#146;s Boards of Trustees
(the &#147;Boards&#148;) to take effect on or about November 1, 2007. The Board is
organized into three classes one class of which is elected annually. Each
Trustee serves a three-year term concurrent with the class into which he or she
is elected.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Approved
the Class I Directors/Trustees as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="36%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="5" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="5" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="5" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>G.
 Nicholas Beckwith, III</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Kent
 Dixon</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>R.
 Glenn Hubbard</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,540,504</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>205,001</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,534,431</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>211,073</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,540,366</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>205,138</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,938,569</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>96,163</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,941,585</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,147</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,937,943</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>96,789</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,451,182</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>274,088</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,449,422</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>275,848</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,444,122</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>281,147</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,004,899</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>878,220</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,007,568</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>875,552</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,012,161</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>870,958</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,528,458</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>301,321</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,522,202</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>307,576</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,527,975</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>301,804</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,178,575</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>636,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,172,672</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>642,030</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,178,097</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>636,605</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,838,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,565</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,839,626</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187,915</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,838,876</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,665</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="55%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>W.
 Carl Kester</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Robert
 S. Salomon, Jr.</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,542,541</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>202,963</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,532,904</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>212,601</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,940,393</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94,339</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,941,060</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,672</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,459,822</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>265,448</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,427,963</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>297,307</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>540,145,471</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>868,572</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,998,127</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>884,992</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,535,465</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>294,314</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,529,737</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300,042</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,415</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1  FACE=ARIAL><SUP>1</SUP></FONT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1  FACE=ARIAL><SUP>1</SUP></FONT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,178,951</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>635,751</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,839,476</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,065</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,839,776</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187,765</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Approved
the Class II Directors/Trustees as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="38%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Richard
 S. Davis</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Frank
 J. Fabozzi</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>James
 T. Flynn</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,528,535</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>216,970</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,543,679</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>201,825</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,535,708</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>209,796</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,939,343</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>95,389</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,938,756</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>95,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,941,378</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,452,493</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>272,777</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,456,158</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>269,112</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,447,610</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>277,660</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,011,445</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>871,675</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,017,461</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>865,659</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,012,426</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>870,694</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,533,743</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>296,036</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,534,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>295,425</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,531,608</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>298,171</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,181,551</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>633,151</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>12,415</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1  FACE=ARIAL><SUP>1</SUP></FONT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1  FACE=ARIAL><SUP>1</SUP></FONT><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,179,416</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>635,286</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,839,276</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,265</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,836,791</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>190,750</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,839,776</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187,765</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="77%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Karen
 P. Robards</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,546,810</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>198,695</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,939,791</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94,941</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,457,771</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>267,499</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,006,888</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>876,232</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,534,697</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>295,081</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,180,119</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>634,583</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,839,676</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187,865</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style='margin-top:-3px'><FONT SIZE=1 FACE=ARIAL>1</FONT></P>
</TD>
<TD VALIGN=TOP>
<P style='margin-top:3px'><FONT SIZE=1 FACE=ARIAL>Voted on by holders of preferred
 shares only.</FONT></P>
</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>

<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>82</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD>
<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>
</TD>
</TR>
</table>

<P><FONT  color=#005695  SIZE=3 FACE=ARIAL>Additional Information (unaudited)
(concluded)</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Approved
the Class III Directors/Trustees as follows:</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="37%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="5" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="5" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="5" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Richard
 E. Cavanagh</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Kathleen
 F. Feldstein</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Henry
 Gabbay</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,545,394</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200,110</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,537,449</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>208,056</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,528,340</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>217,164</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,939,949</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94,783</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,937,482</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>97,250</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,939,881</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>94,851</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,447,696</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>277,574</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,434,374</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>290,896</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,449,506</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>275,764</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,014,874</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>868,245</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>53,992,362</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>890,757</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,015,668</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>867,452</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,529,595</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>300,184</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,523,085</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>306,693</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,527,485</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>302,294</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,151,157</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>663,545</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,177,230</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>637,472</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,184,426</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>630,276</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,839,176</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,365</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,838,876</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,665</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,839,926</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>187,615</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>


<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="5" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="5" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="5" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>





</TABLE>

<BR>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="81%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Jerrold
 B. Harris</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD COLSPAN="5" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Withheld</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Broad Investment Grade</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>2,600,006</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>20,037</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,544,954</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>200,551</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,941,378</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>93,354</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>27,441,156</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>284,114</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>54,010,458</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>872,661</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>31,525,195</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>304,584</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>49,180,428</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>634,274</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,838,976</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>188,565</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>The
following Trusts had an additional proposal (Proposal #2) to amend their
respective Declarations of Trust to increase the maximum number of Board
Members to 15:</FONT></P>

<TABLE BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="66%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="8%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes
 For</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Against</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Votes<BR>
 Abstain</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>21,397,280</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>273,953</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>74,272</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>High Yield</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,853,627</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>164,515</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>16,590</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Limited Duration</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>30,858,715</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>452,424</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>518,639</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>48,460,779</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>990,861</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>363,061</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Strategic Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>5,817,653</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>131,815</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>78,074</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Each Trust
listed for trading on the New York Stock Exchange (&#147;NYSE&#148;) has filed with the
NYSE its annual chief executive officer certification regarding compliance with
the NYSE&#146;s listing standards and each Trust listed for trading on the American
Stock Exchange (&#147;AMEX&#148;) has filed with the AMEX its corporate governance
certification regarding compliance with the AMEX&#146;s listing standards. All of
the Trusts have filed with the Securities and Exchange Commission the
certification of its chief executive officer and chief financial officer
required by section 302 of the Sarbanes-Oxley Act.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Trusts
do not make available copies of their respective Statements of Additional
Information because the Trusts&#146; shares are not continuously offered, which
means that the Statement of Additional Information of each Trust has not been
updated after completion of such Trust&#146;s offering and the information contained
in each Trust&#146;s Statement of Additional Information may have become outdated.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>During the
period, there were no material changes in any Trust&#146;s investment objective or
policies or to any Trust&#146;s charters or by-laws that were not approved by the
shareholders or in the principal risk factors associated with investment in the
Trusts.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Quarterly
performance and other information regarding the Trusts may be found on BlackRock&#146;s
website, which can be accessed at http://www.blackrock.com. This reference to
BlackRock&#146;s website is intended to allow investors public access to information
regarding the Trusts and does not, and is not intended, to incorporate
BlackRock&#146;s website into this report.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>83</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD>
<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>
</TD>
</TR>
</table>

<P><FONT  COLOR=#005695  SIZE=3 FACE=ARIAL> <A NAME=A015></A>Section 19 Notices (unaudited)</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The amounts
and sources of distributions reported are only estimates and are not being
provided for tax reporting purposes. The actual amounts and sources for tax
reporting purposes will depend upon the Trust&#146;s investment experience during
the remainder of its fiscal year and may be subject to changes based on the tax
regulations. The Trust will send you a Form 1099-DIV for the calendar year that
will tell you how to report these distributions for federal income tax
purposes.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="24%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="7%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="4%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=BOTTOM>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
<TD WIDTH="1%" VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="11" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="11" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="11" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Total
 Fiscal Year to Date Cumulative<BR>
 Distributions by Character</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="11" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Percentage
 of Fiscal Year to Date Cumulative<BR>
 Distributions by Character</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=BOTTOM>
<P>&nbsp;</P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="11" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
<TD COLSPAN="11" VALIGN=BOTTOM style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL><B>Trust</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Net<BR>
 Investment<BR>
 Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Net<BR>
 Realized<BR>
 Capital<BR>
 Gains</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Return<BR>
 of<BR>
 Capital</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Total
 Per<BR>
 Common<BR>
 Share</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Net<BR>
 Investment<BR>
 Income</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Net<BR>
 Realized<BR>
 Capital<BR>
 Gains</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Return<BR>
 of<BR>
 Capital</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD COLSPAN="2" VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1  FACE=ARIAL><B>Total
 Per<BR>
 Common<BR>
 Share</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=CENTER><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD COLSPAN="2" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
<TD VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Core Bond</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.72</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.09</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>$</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.80</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>89</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>11</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>%</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Income Opportunity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.61</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.66</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>92</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>8</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1 FACE=ARIAL>Income Trust</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.32</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.05</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.37</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>15</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM BGCOLOR="#E6E6E6">
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1 FACE=ARIAL>Preferred and Equity</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.89</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>0.52</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>1.41</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>63</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>&#151;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>37</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>100</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>Each Trust
estimates that it has distributed more than its income and net realized gains;
therefore, a portion of the distribution may be a return of capital. A return
of capital may occur, for example, when some or all of the money that you
invested in the Fund is paid back to the shareholder. A return of capital does
not necessarily reflect the Fund&#146;s investment performance and should not be
confused with &#145;yield&#146; or &#145;income&#146;.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="15%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="60%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="20%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="5%" VALIGN=TOP>
<P ALIGN=RIGHT>&nbsp;</P>
</TD>
</TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
</TD>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT><FONT SIZE=1  FACE=ARIAL>84</FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>
<BR>
<div><A NAME=A016></A><FONT COLOR=#005695 SIZE=3 FACE=ARIAL>Directors/Trustees
Information (unaudited)</FONT></div><BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="16%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="11%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="9%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="6%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="17%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:6pt" FACE=ARIAL><B>Name, Address and<BR>
 Year of Birth</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:6pt" FACE=ARIAL><B>Current Positions<BR>
 Held With the<BR>
 Trusts</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:6pt" FACE=ARIAL><B>Term of Office<BR>
 and Length of<BR>
 Time Served</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:6pt" FACE=ARIAL><B>Principal Occupations</B><FONT style="font-size:6pt" FACE=ARIAL><BR>
 <B>During the Past Five Years</B></FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:6pt" FACE=ARIAL><B>Number of<BR>
 Portfolios<BR>
 Overseen<BR>
 Within the<BR>
 Fund<BR>
 Complex<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:6pt" FACE=ARIAL><B>Other Directorships</B><FONT style="font-size:6pt" FACE=ARIAL><BR>
 <B>Held Outside the</B><BR>
 <B>Fund Complex<SUP>1</SUP></B></FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:6pt" FACE=ARIAL><B>Events or Transactions by<BR>
 Reason of Which the<BR>
 Trustee is an Interested<BR>
 Person as Defined in<BR>
 Section 2(a) (19) of the<BR>
 1940 Act</B></FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="13" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor=#E7ECF5>
<TD COLSPAN="7" VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Interested Director/Trustee<SUP>2</SUP></B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" bgcolor=#E7ECF5>
<TD COLSPAN="13" VALIGN=TOP style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Ralph L. Schlosstein<BR>
 <BR>
 </B><FONT SIZE=1 FACE=ARIAL>BlackRock, Inc.<BR>
 40 East 52nd Street<BR>
 New York, NY 10022<BR>
 <BR>
 1951</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Chairman of the Board<SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>3 years<SUP>4</SUP>/ since inception</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Director from 1999 to 2007 and President of BlackRock,
 Inc. from 1998 to 2007. Chairman and President of the BlackRock Liquidity
 Funds.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>70</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>None</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Former Director and President of the Advisor until
 September 2007.</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="13" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The Fund Complex means two or more registered investment
 companies that: (1) hold themselves out to investors as related companies for
 purposes of investment and investor services; or (2) have a common investment
 advisor or have an investment advisor that is an affiliated person of the
 investment advisor of any of the other registered investment companies.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Interested Director/Trustee as defined by Section 2(a)(19)
 of the Investment Company Act of 1940.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>Director/Trustee since inception; appointed Chairman of
 the Board on August 22, 2002.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>4</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The Board is classified into three classes of which one
 class is elected annually. Each Director/Trustee serves a three-year term
 concurrent with the class from which they are elected.</FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>85</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>

<BR>
<div><FONT SIZE=3 COLOR=#005695 FACE=ARIAL>Directors/Trustees Information
(unaudited) (continued)</FONT></div>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="16%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="18%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:7pt" FACE=ARIAL><B>Name, Address and<BR>
 Year of Birth</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:7pt" FACE=ARIAL><B>Current Positions Held<BR>
 With the Trusts</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:7pt" FACE=ARIAL><B>Term of Office and<BR>
 Length of Time<BR>
 Served</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:7pt" FACE=ARIAL><B>Principal Occupations</B><FONT  SIZE=1 FACE=ARIAL><BR>
 <B>During the Past Five Years</B></FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:7pt" FACE=ARIAL><B>Number of<BR>
 Portfolios Overseen<BR>
 Within the Fund<BR>
 Complex<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT style="font-size:7pt" FACE=ARIAL><B>Other Directorships</B><FONT  SIZE=1 FACE=ARIAL><BR>
 <B>Held Outside the</B><BR>
 <B>Fund Complex</B></FONT></FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="13" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor=#E7ECF5>

<TD COLSPAN="7" VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Independent Directors/Trustees</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" bgcolor=#E7ECF5>
<TD COLSPAN="13" VALIGN=TOP style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Richard E. Cavanagh</B><FONT  SIZE=1 FACE=ARIAL><BR>
 <BR>
 P.O. Box 4546<BR>
 New York, NY<BR>
 10163-4546<BR>
 <BR>
 1946</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Lead Trustee Audit Committee Member<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>3 years<SUP>3</SUP>/since inception</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Trustee, Aircraft Finance Trust (AFT) from 1999 to the
 present; Director, The Guardian Life Insurance Company of America and The
 Mutual Life Insurance Company from 1998 to the present; Trustee, Educational
 Testing Service (ETS) from 1997 until the present; Director, the Freemont
 Group from 1996 until the present. President and Chief Executive Officer of
 The Conference Board, Inc. (a leading global busi- ness research
 organization) from 1995 to 2007.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Arch Chemical (Chemicals and Allied Products).</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="11" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Kent Dixon<BR>
 <BR>
 </B><FONT SIZE=1 FACE=ARIAL>P.O. Box 4546<BR>
 New York, NY<BR>
 10163-4546<BR>
 <BR>
 1937</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Trustee Audit Committee Member<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>3 years<SUP>3</SUP>/since</FONT><BR>
<FONT SIZE=1 FACE=ARIAL>inception</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Consultant/Investor since 1988.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>None</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="11" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Frank J. Fabozzi</B><FONT  SIZE=1 FACE=ARIAL> <BR>
 <BR>
 P.O. Box 4546<BR>
 New York, NY<BR>
 10163-4546<BR>
 <BR>
 1948</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Trustee Audit Committee Member<SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>3 years<SUP>3</SUP>/since inception</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Consultant/Editor of, &#147;The Journal of Portfolio
 Management&#148;; Yale University, School of Management, Professor in the Practice
 of Finance and Becton Fellow from 2006 until present; Adjunct Professor of
 Finance and Becton Fellow from 2005 to 2006; Professor in the practice of
 Finance from 2003 to 2005; Adjunct Professor of Finance from 1994 to 2003;
 Author and Editor.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>None</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="11" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
</table>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="3%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="96%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The Fund Complex means two or more registered investments
 companies that: (1) hold themselves out to investors as related companies for
 purposes of investment and investor services; or (2) have a common investment
 advisor or have an investment advisor that is an affiliated person of the investment
 advisor of any of the other registered investment companies.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The Board of each Trust has determined that each Trust has
 three Audit Committee financial experts serving on its Audit Committee, Mr.
 Cavanagh, Mr. Dixon and Mr. Fabozzi, each of whom is independent for the
 purpose of the definition of Audit Committee financial expert as applicable
 to the Trusts.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The Board is classified into three classes of which one
 class is elected annually. Each Director/Trustee serves a three-year term
 concurrent with the class from which they are elected.</FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT><FONT  SIZE=1 FACE=ARIAL>86</FONT></P>
 </TD>
 </TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>
<BR>
<div><FONT SIZE=3 FACE=ARIAL COLOR=#005695>Directors/Trustees Information
(unaudited) (concluded)</FONT></div>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="16%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="16%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="12%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="18%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="2%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="14%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=BOTTOM>
<P><font style="font-size:7pt" FACE=ARIAL><B>Name, Address and<BR>
 Year of Birth</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><font style="font-size:7pt" FACE=ARIAL><B>Current Positions Held<BR>
 With the Trusts</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM nowrap>
<P><font style="font-size:7pt" FACE=ARIAL><B>Term of Office and<BR>
 Length of Time<BR>
 Served</B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><font style="font-size:7pt" FACE=ARIAL><B>Principal Occupations</B><FONT  SIZE=1 FACE=ARIAL><BR>
 <B>During the Past Five Years</B></FONT></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><font style="font-size:7pt" FACE=ARIAL><B>Number of<BR>
 Portfolios Overseen<BR>
 Within the Fund<BR>
 Complex<SUP>1</SUP></B></FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=BOTTOM>
<P><font style="font-size:7pt" FACE=ARIAL><B>Other Directorships</B><FONT  SIZE=1 FACE=ARIAL><BR>
 <B>Held Outside the</B><BR>
 <B>Fund Complex</B></FONT></FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="13" VALIGN=TOP style="border-bottom:solid #005695 2px">&nbsp;

</TD>
</TR>
<TR bgcolor=#E7ECF5>
<TD COLSPAN="7" VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL COLOR="#005695"><B>Independent Directors/Trustees</B></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px" bgcolor=#E7ECF5>
<TD COLSPAN="13" VALIGN=TOP style="border-bottom:solid #005695 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>Kathleen F. Feldstein<BR>
 <BR>
 </B><FONT SIZE=1 FACE=ARIAL>P.O. Box 4546<BR>
 New York, NY<BR>
 10163-4546<BR>
 <BR>
 1941</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Trustee</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>3 years<SUP>3</SUP>/since January 19, 2005</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>President of Economic Studies, Inc., (a Belmont MA-based
 private economic consulting firm) since 1987; Chair, Board of Trustees,
 McLean Hospital since 2000. Member of the Board of Partners Community
 Healthcare, Inc. from 2005 until the present; Member of the Board of Partners
 HealthCare and Sherrill House from 1990 to the present; Trustee, Museum of
 Fine Arts, Boston from 1992 until the present and a Member of the Visiting
 Committee to the Harvard University Art Museum from 2003 to the present;
 Trustee, The Committee for Economic Development (a research organization of
 business leaders and educators) from 1990 to the present; Member of the
 Advisory Board to the International School of Business, Brandeis University
 from 2002 to the present.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Director, The McClatchy</FONT><BR><FONT SIZE=1 FACE=ARIAL>Company.</FONT></P>
</TD>
</TR>
<TR style="font-size:1 px">
<TD COLSPAN="11" VALIGN=TOP style="border-bottom:solid black 1px">&nbsp;

</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL><B>R. Glenn Hubbard</B><FONT  SIZE=1 FACE=ARIAL> <BR>
 <BR>
 P.O. Box 4546<BR>
 New York, NY<BR>
 10163-4546<BR>
 <BR>
 1958</FONT></FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Trustee</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>3 years<SUP>3</SUP>/since November 16, 2004</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>Dean of Columbia Business School since 2004; Columbia
 faculty member since 1988; Co-director of Columbia Business School&#146;s
 Entrepreneurship Program 1997 to 2004; Visiting Professor at the John F.
 Kennedy School of Government at Harvard University and the Harvard Business
 School from 1985, as well as the University of Chicago from 1994; Deputy
 Assistant Secretary of the U.S. Treasury Department for Tax Policy from 1991
 to 1993; Chairman of the U.S. Council of Economic Advisers under the
 President of the United States from 2001 to 2003.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>60</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1 FACE=ARIAL>ADP, KKR Financial Corporation, Duke Realty, Metropolitan
 Life Insurance Company.</FONT></P>
</TD>
</TR>
</TABLE>

<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The Fund Complex means two or more registered investments
 companies that: (1) hold themselves out to investors as related companies for
 purposes of investment and investor services; or (2) have a common investment
 advisor or have an investment advisor that is an affiliated person of the
 investment advisor of any of the other registered investment companies.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The Board of each Trust has determined that each Trust has
 three Audit Committee financial experts serving on its Audit Committee, Mr.
 Cavanagh, Mr. Dixon and Mr. Fabozzi, each of whom is independent for the
 purpose of the definition of Audit Committee financial expert as applicable
 to the Trusts.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style=margin-top:-3px><FONT SIZE=1 FACE=ARIAL><SUP>3</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style=margin-top:3px><FONT SIZE=1 FACE=ARIAL>The Board is classified into three classes of which one
 class is elected annually. Each Director/Trustee serves a three-year term
 concurrent with the class from which they are elected.</FONT></P>
</TD>
</TR>
</table>
<BR>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>87</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>

<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<HR SIZe=6 noshade color="#7394C1" align=center Width=100%>
<BR>
<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="100%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=3 COLOR=#005695 FACE=ARIAL>BlackRock Closed-End Funds</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Officers</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Robert S. Kapito, <I>President</I></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Donald C. Burke, <I>Treasurer</I></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Bartholomew Battista, <I>Chief
 Compliance Officer</I></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Anne Ackerley, <I>Vice
 President</I></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Vincent B. Tritto, <I>Secretary</I></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Investment Advisor</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>BlackRock Advisors, LLC</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>100 Bellevue Parkway</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Wilmington, DE 19809</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>(800) 227-7BFM</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Sub-Advisor</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>BlackRock Financial Management, Inc.<SUP>1</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>40 East 52nd Street</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>New York, NY 10022</FONT></P>
</TD>
</TR>


<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>BlackRock Investment Management, LLC<SUP>2</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>40 East 52nd Street</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>New York, NY 10022</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
</TD>
</TR>

<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Accounting Agent
 and Custodian</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>State Street Bank and Trust Company</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>2 Avenue De Lafayette</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Boston, MA 02111</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Transfer Agent</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Computershare Trust Company, N.A.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>250 Royall Street</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Canton, MA 02021</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>(800) 699-1BFM</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Auction Agent<SUP>2</SUP></FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Bank of New York</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>101 Barclay Street, 7 West</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>New York, NY 10286</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Independent
 Registered Public Accounting Firm</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Deloitte &amp; Touche LLP</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>200 Berkeley Street</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Boston, MA 02116</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Legal Counsel</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Skadden, Arps, Slate, Meagher &amp; Flom LLP</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Four Times Square</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>New York, NY 10036</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>Legal Counsel &#150;
 Independent Trustees</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>Debevoise &amp; Plimpton LLP</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>919 Third Avenue</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P STYLE='MARGIN-RIGHT:0IN;MARGIN-LEFT:17.3PT;TEXT-INDENT:-8.65PT'><FONT  SIZE=2 FACE=ARIAL>New York, NY 10022</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>This
report is for shareholder information. This is not a prospectus intended for
use in the purchase or sale of Trust shares. Statements and other information
contained in this report are as dated and are subject to change.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>BlackRock
Closed-End Funds<BR>c/o BlackRock Advisors, LLC<BR>100 Bellevue Parkway<BR>Wilmington,
DE 19809<BR>(800) 227-7BFM</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="5%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="95%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD COLSPAN="2" VALIGN=TOP>
<P><HR NOSHADE WIDTH=120 COLOR=GRAY ALIGN=LEFT size=1>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>1</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>For Core Bond, Limited Duration,
 Preferred and Equity and Strategic Bond.</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P style="margin-top:-3px"><FONT SIZE=1 FACE=ARIAL><SUP>2</SUP></FONT></P>
</TD>
<TD VALIGN=TOP>
<P style="margin-top:3px"><FONT SIZE=1 FACE=ARIAL>For Preferred and Equity.</FONT></P>
</TD>
</TR>
</table>

<P><FONT SIZE=2 FACE=ARIAL>The Trusts
will mail only one copy of shareholder documents, including annual and
semi-annual reports and proxy statements, to shareholders with multiple
accounts at the same address. This practice is commonly called &#147;householding&#148;
and is intended to reduce expenses and eliminate duplicate mailings of
shareholder documents. Mailings of your shareholder documents may be householded
indefinitely unless you instruct us otherwise. If you do not want the mailing
of these documents to be combined with those for other members of your
household, please contact the Trusts at (800) 699-1BFM. </FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Trusts
have delegated to the Advisor the voting of proxies relating to their voting
securities pursuant to the Advisor&#146;s proxy voting policies and procedures. You
may obtain a copy of these proxy voting policies and procedures, without
charge, by calling (800) 699-1BFM. These policies and procedures are also
available on the website of the Securities and Exchange Commission (the
&#147;Commission&#148;) at http://www.sec.gov.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>Information
on how proxies relating to the Trusts&#146; voting securities were voted by the
Advisor during the most recent 12-month period ended June 30th is available
without charge, upon request, by calling (800) 699-1BFM or on the website of
the Commission at http://www.sec.gov.</FONT></P>

<P><FONT SIZE=2 FACE=ARIAL>The Trusts
file their complete schedule of portfolio holdings for the first and third
quarters of their respective fiscal years with the Commission on Form N-Q. Each
Trust&#146;s Form N-Q is available on the Commission&#146;s website at
http://www.sec.gov. Each Trust&#146;s Form N-Q may be reviewed and copied at the
Commission&#146;s Public Reference Room in Washington, D.C. Information regarding
the operation of the Public Reference Room may be obtained by calling (800)
SEC-0330. Each Trust&#146;s Form N-Q may also be obtained without charge, upon
request, by calling (800) 699-1BFM.</FONT></P>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
 <TR style="font-size:1px">
 <TD WIDTH="15%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="60%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="20%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 <TD WIDTH="5%" VALIGN=TOP>
 <P>&nbsp;</P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black;border-right:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP style='border-top:1px solid black'>
 <P><FONT SIZE=1>&nbsp;</FONT></P>
 </TD>
 </TR>
 <TR>
 <TD VALIGN=TOP>
 <P><FONT SIZE=1  FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>ANNUAL REPORT</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P STYLE='MARGIN-LEFT:8.65PT'><FONT SIZE=1 FACE=ARIAL>OCTOBER 31, 2007</FONT></P>
 </TD>
 <TD VALIGN=TOP>
 <P ALIGN=RIGHT STYLE='MARGIN-RIGHT:8.65PT;'><FONT  SIZE=1 FACE=ARIAL>&nbsp;</FONT></P>
 </TD>
 </TR>
</table>
<BR>


<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4><P STYLE='PAGE-BREAK-BEFORE: ALWAYS'></P>
<PAGE>

<TABLE ALIGN=CENTER BORDER=0 CELLSPACING=0 CELLPADDING=0 WIDTH="100%">
<TR style="font-size:1px">
<TD WIDTH="70%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
<TD WIDTH="30%" VALIGN=TOP>
<P>&nbsp;</P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>This report is for shareholder
 information. This is not a prospectus intended for<BR>
 use in the purchase or sale of Trust shares. Statements and other information<BR>
 contained in this report are as dated and are subject to change.</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
<TD VALIGN=TOP>
<P><FONT SIZE=1>&nbsp;</FONT></P>
</TD>
</TR>
<TR>
<TD VALIGN=TOP>
<P><FONT SIZE=2 FACE=ARIAL>CEF-ANN-3-1007</FONT></P>
</TD>
<TD VALIGN=TOP>
<P ALIGN=RIGHT style=bottom:-20px><FONT SIZE=2><IMG SRC="c50638003.jpg" ALT="(BLACKROCK LOGO)"></FONT></P>
</TD>
</TR>
</table>
<BR>
<HR NOSHADE ALIGN=CENTER WIDTH="100%" SIZE=4>


<P align="left" style="page-break-before:always"></P><PAGE><br>


<table width="100%" border="0" cellspacing="0" cellpadding="0">
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 2 &#150; &nbsp;</FONT></td>
    <td><FONT size=2 face="serif">Code of Ethics &#150; The registrant (or the &#147;Fund&#148;)
        has adopted a code of ethics, as of the end of the period covered by
        this report, applicable to the registrant's principal executive officer,
        principal financial officer and principal accounting officer, or persons
        performing similar functions. During the period covered by this report,
        there have been no amendments to or waivers granted under the code of
    ethics. A copy of the code of ethics is available without charge at www.blackrock.com. </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 3 &#150;</FONT></td>
    <td><FONT size=2 face="serif"> Audit Committee Financial Expert &#150; The
        registrant's board of directors or trustees, as applicable (the &#147;board
        of directors&#148;) has determined that (i) the registrant has the following
        audit committee financial experts serving on its audit committee and
        (ii) each audit committee financial expert is independent: <br>
      Kent Dixon
      <br>
      Frank J. Fabozzi <br>
      Dr. Andrew F. Brimmer (retired as of December 31, 2006)
      <br>
      Robert S. Salomon, Jr. (term began effective November 1, 2007) <br>
      W. Carl
      Kester (term began effective November 1, 2007) <br>
      James T. Flynn (term began
      effective November 1, 2007) <br>
      Karen P. Robards (term began effective November
  1, 2007) </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>
      <P align="left"><FONT size=2 face="serif">The registrant's board of directors
          has determined that W. Carl Kester and Karen P. Robards qualify as
          financial experts pursuant to Item 3(c)(4) of Form N-CSR.</FONT></P>
      <P align="left"> <FONT size=2 face="serif">Prof. Kester has a thorough
          understanding of generally accepted accounting principles, financial
          statements and internal control over financial reporting as well as
          audit committee functions. Prof. Kester has been involved in providing
          valuation and other financial consulting services to corporate clients
          since 1978. Prof. Kester&#146;s financial consulting services present
          a breadth and level of complexity of accounting issues that are generally
          comparable to the breadth and complexity of issues that can reasonably
          be expected to be raised by the registrant&#146;s financial statements.</FONT></P>
      <P align="left"> <FONT size=2 face="serif">Ms. Robards has a thorough understanding
          of generally accepted accounting principles, financial statements and
          internal control over financial reporting as well as audit committee
          functions. Ms. Robards has been President of Robards &amp; Company,
          a financial advisory firm, since 1987. Ms. Robards was formerly an
          investment banker for more than 10 years where she was responsible
          for evaluating and assessing the performance of companies based on
          their financial results. Ms. Robards has over 30 years of experience
          analyzing financial statements. She also is the member of the Audit
          Committees of one publicly held company and a non-profit organization. </FONT></P>
      <P align="left"> <FONT size=2 face="serif">Under applicable securities
          laws, a person determined to be an audit committee financial expert
          will not be deemed an &#147;expert&#148; for any purpose, including
          without limitation for the purposes of Section 11 of the Securities
          Act of 1933, as a result of being designated or identified as an audit
          committee financial expert. The designation or identification as an
          audit committee financial expert does not impose on such person any
          duties, obligations, or liabilities greater than the duties, obligations,
          and liabilities imposed on such person as a member of the audit committee
    and board of directors in the absence of such designation or identification. </FONT></P></td>
  </tr>
</table>
<P align="left">&nbsp;</P>
<HR noshade width="100%" size=4>



<P align="left" style="page-break-before:always"></P><PAGE><br>


<P align="left">
<FONT size=2 face="serif">Item 4 &#150; Principal Accountant Fees and Services</FONT></P>
<table width="100%" style="border:1px solid #000000; padding:0px" cellpadding=0 cellspacing=0>
  <tr valign="bottom">
    <td align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap colspan=3 style="border-bottom:1px solid #000000;"><b><font size=1 face="serif">(a)
          Audit Fees</font></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap colspan=3 style="border-bottom:1px solid #000000;">&nbsp;<b><font size=1 face="serif">(b)
          Audit-Related Fees</font></b><b><sup><font size=1 face="serif">1</font></sup></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap colspan=3 style="border-bottom:1px solid #000000;"><b><font size=1 face="serif">(c)
          Tax Fees</font></b><b><sup><font size=1 face="serif">2</font></sup></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap colspan=3 style="border-bottom:1px solid #000000;"><b><font size=1 face="serif">(d)
          All Other Fees</font></b><b><sup><font size=1 face="serif">3</font></sup></b> </td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Current</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Previous</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Current</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Previous</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Current</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Previous</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Current</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Previous</font></u></b> </td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Fiscal Year</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Fiscal Year</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Fiscal Year</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Fiscal Year</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Fiscal Year</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Fiscal Year</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Fiscal Year</font></u></b> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><b><u><font size=1 face="serif">Fiscal Year</font></u></b> </td>
  </tr>
  <tr valign="bottom">
    <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">Entity
            Name</font></u></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
    <td style="border-bottom:1px solid #000000;">&nbsp;</td>
    <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
  </tr>
  <tr>
    <td colspan=17 style="border-bottom:1px solid #000000"><p><font size=1>&nbsp;</font></p></td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap><font size=1 face="serif">&nbsp; BlackRock Limited</font> </td>
    <td>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap><font size=1 face="serif">&nbsp; Duration Income</font> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><font size=1 face="serif">&#36;37,000</font> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><font size=1 face="serif">&#36;37,000</font> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><font size=1 face="serif">&#36;0</font> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><font size=1 face="serif">&#36;0</font> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><font size=1 face="serif">&#36;6,100</font> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><font size=1 face="serif">&#36;8,000</font> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><font size=1 face="serif">&#36;1,042</font> </td>
    <td>&nbsp;</td>
    <td align=center nowrap><font size=1 face="serif">&#36;4,700</font> </td>
  </tr>
  <tr valign="bottom">
    <td align=left nowrap><font size=1 face="serif">&nbsp; Trust</font>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
    <td align=left nowrap>&nbsp;</td>
  </tr>
</table>

<DIV align="left">
<FONT size=2 face="serif"><sup>1</sup> The nature of the services include assurance and
related services reasonably related to the performance of the audit of financial statements
not included in Audit Fees.</FONT></DIV>
<DIV align="left">
<FONT size=2 face="serif"><sup>2</sup> The nature of the services include tax compliance,
tax advice and tax planning. </FONT></DIV>
<DIV align="left">
<FONT size=2 face="serif"><sup>3</sup> The nature of the services include a review of
compliance procedures and attestation thereto. </FONT></DIV>
<BR>


<table width="100%" border="0" cellspacing="0" cellpadding="0">
  <tr>
    <td width="5%">&nbsp;</td>
    <td><P align="left"><FONT size=2 face="serif">(e)(1) Audit Committee Pre-Approval
          Policies and Procedures:</FONT><B><FONT size=2 face="serif"> </FONT></B></P>
      <P align="left"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The
          registrant has polices and procedures (the "Policy") for the pre-approval
          by the registrant's audit committee of Audit, Audit-Related, Tax and
          Other Services (as each is defined in the Policy) provided by the Fund's
          independent auditor (the "Independent Auditor") to the registrant and
          other "Covered Entities" (as defined below). The term of any such pre-approval
          is 12 months from the date of pre-approval, unless the audit committee
          specifically provides for a different period. The amount of any such
          pre-approval is set forth in the appendices to the Policy (the "Service
          Pre-Approval Documents"). At its first meeting of each calendar year,
          the audit committee will review and re-approve the Policy and approve
          or re-approve the Service Pre-Approval Documents for that year, together
          with any changes deemed necessary or desirable by the audit committee.
          The audit committee may, from time to time, modify the nature of the
          services pre-approved, the aggregate level of fees pre-approved or
          both.</FONT><B><FONT size=2 face="serif"> </FONT></B></P>
      <P align="left"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">For
          the purposes of the Policy, "Covered Services" means (A) all engagements
          for audit and non-audit services to be provided by the Independent
          Auditor to the Fund and (B) all engagements for non-audit services
          related directly to the operations and financial reporting or the Fund
          to be provided by the Independent Auditor to any Covered Entity, "Covered
          Entities" means (1) the Advisor or (2) any entity controlling, controlled
          by or under common control with the Advisor that provides ongoing services
          to the Fund.</FONT><B><FONT size=2 face="serif"> </FONT></B></P>
      <P align="left"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">In
          the intervals between the scheduled meetings of the audit committee,
          the audit committee delegates pre-approval authority under this Policy
          to the Chairman of the audit committee (the
  "Chairman"). The Chairman shall report any pre-approval decisions under this
  Policy to the audit committee at its next scheduled meeting. At each scheduled
  meeting, the audit committee will review with the Independent Auditor the Covered
  Services pre-approved by the Chairman pursuant to delegated authority, if any,
  and the fees related thereto. Based on these reviews, the audit committee can
  modify, at its discretion, the pre-approval originally granted by the Chairman
  pursuant to delegated authority. This modification can be to the nature of
  services pre-approved, the aggregate level of fees approved, or both. Pre-approval
  of Covered Services by the Chairman pursuant to delegated authority is expected
  to be the exception rather than the rule and the audit committee may modify
  or withdraw this delegated authority at any time the audit committee determines
  that it is appropriate to do so. </FONT></P>
      <P align="left"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Fee
          levels for all Covered Services to be provided by the Independent Auditor
          and pre-approved under this Policy will be established annually by
          the audit committee and set forth in the Service Pre-Approval Documents.
          Any increase in pre-approved fee levels will require specific pre-approval
    by the audit committee (or the Chairman pursuant to delegated authority). </FONT></P></td>
  </tr>
</table>
<P align="left">&nbsp;</P>
<HR noshade width="100%" size=4>



<P align="left" style="page-break-before:always"></P><PAGE><br>
<table width="100%" border="0" cellspacing="0" cellpadding="0">
  <tr>
    <td width="5%">&nbsp;</td>
    <td><p align="left">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<font size=2 face="serif">The
          terms and fees of the annual Audit services engagement for the Fund
          are subject to the specific pre-approval of the audit committee. The
          audit committee (or the Chairman pursuant to delegated authority) will
          approve, if necessary, any changes in terms, conditions or fees resulting
          from changes in audit scope, Fund structure or other matters. </font></p>
        <p align="left"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<font size=2 face="serif">In
            addition to the annual Audit services engagement specifically approved
            by the audit committee, any other Audit services for the Fund not
            listed in the Service Pre-Approval Document for the respective period
            must be specifically pre-approved by the audit committee (or the
            Chairman pursuant to delegated authority). </font></p>
      <p align="left"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<font size=2 face="serif">Audit-Related
          services are assurance and related services that are not required for
          the audit, but are reasonably related to the performance of the audit
          or review of the financial statements of the registrant and, to the
          extent they are Covered Services, the other Covered Entities (as defined
          in the Joint Audit Committee Charter) or that are traditionally performed
          by the Independent Auditor. Audit-Related services that are Covered
          Services and are not listed in the Service Pre-Approval Document for
          the respective period must be specifically pre-approved by the audit
          committee (or the Chairman pursuant to delegated authority). </font></p>
      <p align="left"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<font size=2 face="serif">The
          audit committee believes that the Independent Auditor can provide Tax
          services to the Covered Entities such as tax compliance, tax planning
          and tax advice without impairing the auditor&#146;s independence. However,
          the audit committee will not permit the retention of the Independent
          Auditor in connection with a transaction initially recommended by the
          Independent Auditor, the sole business purpose of which may be tax
          avoidance and the tax treatment of which may not be supported in the
          Internal Revenue Code and related regulations. Tax services that are
          Covered Services and are not listed in the Service Pre-Approval Document
          for the respective period must be specifically pre-approved by the
          audit committee (or the Chairman pursuant to delegated authority). </font></p>
      <p align="left"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<font size=2 face="serif">All
          Other services that are covered and are not listed in the Service Pre-Approval
          Document for the respective period must be specifically pre-approved
          by the audit committee (or the Chairman pursuant to delegated authority). </font></p>
      <p align="left"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<font size=2 face="serif">Requests
          or applications to provide Covered Services that require approval by
          the audit committee (or the Chairman pursuant to delegated authority)
          must be submitted to the audit committee or the Chairman, as the case
          may be, by both the Independent Auditor and the Chief Financial Officer
          of the respective Covered Entity, and must include a joint statement
          as to whether, in their view, (a) the request or application is consistent
          with the rules of the Securities and Exchange Commission ("SEC") on
          auditor independence and (b) the requested service is or is not a non-audit
          service prohibited by the SEC. A request or application submitted to
          the Chairman between scheduled meetings of the audit committee should
          include a discussion as to why approval is being sought prior to the
          next regularly scheduled meeting of the audit committee. </font></p>
      <p align="left"> <font size=2 face="serif">(e)(2) None of the services
          described in each of Items 4(b) through (d) were approved by the audit
          committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation
          S-X. </font></p>
      <p align="left"> <font size=2 face="serif">(f) Not Applicable </font></p>
      <p align="left"> <font size=2 face="serif">(g) </font><u><font size=2 face="serif">Affiliates&#146; Aggregate
            Non-Audit Fees:</font></u></p></td>
  </tr>
</table>
<br>

<div style="margin-left:60px">
  <table width="60%" style="border:1px solid #000000; padding:0px" cellpadding=0 cellspacing=0>
    <tr valign="bottom">
      <td width="2%" align=left nowrap>&nbsp;</td>
      <td align=left nowrap>&nbsp;</td>
      <td>&nbsp;</td>
      <td align=center nowrap><b><u><font size=1 face="serif">Current Fiscal
              Year</font></u></b> </td>
      <td>&nbsp;</td>
      <td align=center nowrap><b><u><font size=1 face="serif">Previous Fiscal
              Year</font></u></b> </td>
    </tr>
    <tr valign="bottom">
      <td width="2%" align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</td>
      <td align=left nowrap style="border-bottom:1px solid #000000;">&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<b><u><font size=1 face="serif">Entity
              Name</font></u></b> </td>
      <td style="border-bottom:1px solid #000000;">&nbsp;</td>
      <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
      <td style="border-bottom:1px solid #000000;">&nbsp;</td>
      <td align=center nowrap style="border-bottom:1px solid #000000;"><b><u><font size=1 face="serif">End</font></u></b> </td>
    </tr>
    <tr>
      <td colspan=6 style="border-bottom:1px solid #000000"><p><font size=1>&nbsp;</font></p></td>
    </tr>
    <tr valign="bottom">
      <td width="2%" align=left nowrap>&nbsp;</td>
      <td align=left nowrap>&nbsp;</td>
      <td>&nbsp;</td>
      <td align=left nowrap>&nbsp;</td>
      <td>&nbsp;</td>
      <td align=left nowrap>&nbsp;</td>
    </tr>
    <tr valign="bottom">
      <td width="2%" align=left nowrap>&nbsp;</td>
      <td align=left nowrap><font size=1 face="serif">BlackRock Limited Duration<br>
        Income Trust</font> </td>
      <td>&nbsp;</td>
      <td align=center valign="middle" nowrap><font size=1 face="serif">&#36;291,642</font> </td>
      <td>&nbsp;</td>
      <td align=center valign="middle" nowrap><font size=1 face="serif">&#36;298,900</font> </td>
    </tr>
  </table>
</div>
<BR>

<HR noshade width="100%" size=4>



<P align="left" style="page-break-before:always"></P><PAGE><br>



<table width="100%" border="0" cellspacing="0" cellpadding="0">
  <tr>
    <td width="5%" valign="top" nowrap>&nbsp;</td>
    <td><P align="left"><FONT size=2 face="serif">(h) The registrant&#146;s audit
          committee has considered and determined that the provision of non audit
          services that were rendered to the registrant&#146;s investment adviser
          (not including any non-affiliated sub-adviser whose role is primarily
          portfolio management and is subcontracted with or overseen by the registrant&#146;s
          investment adviser), and any entity controlling, controlled by, or
          under common control with the investment adviser that provides ongoing
          services to the registrant that were not pre-approved pursuant to paragraph
          (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining
          the principal accountant&#146;s independence.</FONT></P>
      <P align="left"> <FONT size=2 face="serif">Regulation S-X Rule 2-01(c)(7)(ii) &#150; &#36;284,500,
    0%</FONT></P></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 5 &#150; &nbsp;</FONT></td>
    <td><P align="left"><FONT size=2 face="serif">Audit Committee of Listed Registrants &#150; The
          following individuals are members of the registrant&#146;s separately-designated
          standing audit committee established in accordance with Section 3(a)(58)(A)
          of the Exchange Act (15 U.S.C. 78c(a)(58)(A)): </FONT></P>
      <P align="left"> <FONT size=2 face="serif">Dr. Andrew F. Brimmer (retired
          as of December 31, 2006) </FONT><br>
          <FONT size=2 face="serif">Richard E. Cavanagh (not reappointed to Audit
          Committee as of November 1, 2007) <br>
            Kent Dixon <br>
            Frank J. Fabozzi <br>
            Robert S. Salomon, Jr. (term began effective November 1, 2007) <br>
            W. Carl Kester (term began effective November 1, 2007) <br>
            James T. Flynn (term began effective November 1, 2007) <br>
    Karen P. Robards (term began effective November 1, 2007) </FONT></P></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 6 &#150;</FONT></td>
    <td><FONT size=2 face="serif"> Schedule of Investments &#150; The registrant&#146;s
        Schedule of Investments is included as part of the Report to Stockholders
    filed under Item 1 of this form. </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 7 &#150;</FONT></td>
    <td><P align="left"><FONT size=2 face="serif">Disclosure of Proxy Voting
          Policies and Procedures for Closed-End Management Investment Companies &#150; The
          registrant has delegated the voting of proxies relating to Fund portfolio
          securities to its investment adviser, BlackRock Advisors, LLC and its
          sub-adviser, as applicable. The Proxy Voting Policies and Procedures
          of the adviser and sub-adviser are attached hereto as Exhibit 99.PROXYPOL. </FONT></P>
      <P align="left"> <FONT size=2 face="serif">Information about how the Fund
          voted proxies relating to securities held in the Fund&#146;s portfolio
          during the most recent 12 month period ended June 30 is available without
          charge (1) at www.blackrock.com and (2) on the Commission&#146;s web
    site at </FONT><U><FONT size=2 face="serif">http://www.sec.gov</FONT></U><FONT size=2 face="serif">. </FONT></P></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 8 &#150;</FONT></td>
    <td><P align="left"><FONT size=2 face="serif">Portfolio Managers of Closed-End
          Management Investment Companies &#150; as of October 31, 2007.</FONT></P>
      <P align="left"> <FONT size=2 face="serif">(a)(1) BlackRock Limited Duration
          Income Trust is managed by a team of investment professionals comprised
          of Scott Amero, Managing Director at BlackRock, Jeffrey Gary, CPA,
          Managing Director at BlackRock, Mark J. Williams, Managing Director
          at BlackRock, Kevin J. Booth, CFA, Managing Director at BlackRock and
          James E. Keenan, CFA, Director at BlackRock. Each is a member of BlackRock&#146;s
          fixed income portfolio management group. Messrs. Amero and Gary are
          responsible for setting the Fund&#146;s overall credit strategy. Mr.
          Williams is responsible for setting overall investment strategy and
          overseeing management of the Fund. Messrs. Booth and Keenan are the
          Fund&#146;s co-portfolio managers and are responsible for the day-to-day
          management of the Fund&#146;s portfolio and the selection of its investments.
    Mr. Amero has been a member of the Fund&#146;s</FONT></P></td>
  </tr>
</table>
<P align="left">&nbsp;</P>
<HR noshade width="100%" size=4>



<P align="left" style="page-break-before:always"></P><PAGE><br>



<table width="100%" border="0" cellspacing="0" cellpadding="0">
  <tr>
    <td width="5%" nowrap>&nbsp;</td>
    <td><P align="left"><FONT size=2 face="serif">management team since 2003,
          Mr. Gary has been a member of the Fund&#146;s management team since
          2006 and Mr. Williams has been a member of the Fund&#146;s management
          team since 2007. Messrs. Booth and Keenan have been the Fund&#146;s
          co-portfolio managers since 2007. </FONT></P>
      <P align="left"> <FONT size=2 face="serif">Scott Amero is co-head of BlackRock&#146;s
          fixed income portfolio management group. He is a member of the Management
          Committee and the Investment Strategy Group. Mr. Amero is a senior
          strategist and portfolio manager with responsibility for overseeing
          all fixed income sector strategy and the overall management of client
          portfolios. He is also the head of global credit research. He is a
          director of Anthracite Capital, Inc., BlackRock&#146;s publicly-traded
          real estate investment trust. Mr. Amero has been with BlackRock since
          1990.</FONT></P>
      <P align="left"> <FONT size=2 face="serif">Jeffrey Gary is the head of
          BlackRock&#146;s high yield team within the Fixed Income Portfolio
          Management Group. Prior to joining BlackRock in 2003, Mr. Gary was
          a Managing Director and portfolio manager with AIG (American General)
          Investment Group.</FONT></P>
      <P align="left"> <FONT size=2 face="serif">Mr. Williams is the head of
          BlackRock&#146;s bank loan group and a member of the Investment Strategy
          Group. His primary responsibility is originating and evaluating bank
          loan investments for the firm's collateralized bond obligations. He
          is also involved in the evaluation and sourcing of mezzanine investments.
          Prior to joining BlackRock in 1998, Mr. Williams spent eight years
          with PNC Bank's New York office and was a founding member of the bank's
          Leveraged Finance Group. In that capacity he was responsible for structuring
          proprietary middle market leveraged deals and sourcing and evaluating
          broadly syndicated leveraged loans in the primary and secondary markets
          for PNC Bank's investment portfolio. From 1984 until 1990, Mr. Williams
          worked in PNC Bank's Philadelphia office in a variety of marketing
          and corporate finance positions. </FONT></P>
      <P align="left"> <FONT size=2 face="serif">Kevin Booth is co-head of the
          high yield team within BlackRock&#146;s Fixed Income Portfolio Management
          Group. His primary responsibilities are managing portfolios and directing
          investment strategy. He specializes in hybrid high yield portfolios,
          consisting of leveraged bank loans, high yield bonds, and distressed
          obligations. Prior to joining BlackRock, Mr. Booth was a Managing Director
          (Global Fixed Income) of Merrill Lynch Investment Managers (&#147;MLIM&#148;)
          in 2006, a Director from 1998 to 2006 and was a Vice President of MLIM
          from 1991 to 1998. He has been a portfolio manager with BlackRock or
          MLIM since 1992, and was a member of MLIM&#146;s bank loan group from
          2000 to 2006. </FONT></P>
      <P align="left"> <FONT size=2 face="serif">James Keenan is a high yield
          portfolio manager and trader within BlackRock&#146;s Fixed Income Portfolio
          Management Group. His primary responsibilities are managing client
          portfolios, executing trades and ensuring consistency across high yield
          portfolios. Mr. Keenan has been with BlackRock since 2004. Prior to
          joining BlackRock, he was a senior high yield trader at Columbia Management
          Group. Mr. Keenan began his investment career at UBS Global Asset Management
          where he held roles as a trader, research analyst and a portfolio analyst
    from 1998 through 2003. </FONT></P></td>
  </tr>
</table>
<P align="left">&nbsp;</P>
<HR noshade width="100%" size=4>



<P align="left" style="page-break-before:always"></P><PAGE><br>


<div style="margin-left:50px"> <font size=2 face="serif">(a)(2) As of October
31, 2007: </font></div><br>
<br>


<TABLE width="100%"  style="border:1px solid #000000; padding:0px" cellpadding=0 cellspacing=0>
  <TR valign="bottom">
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=center nowrap colspan=5><B><FONT size=1 face="serif">(iii) Number
          of Other Accounts and</FONT></B></TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=center nowrap colspan=5><B><FONT size=1 face="serif">(ii) Number
          of Other Accounts Managed</FONT></B> </TD>
    <TD></TD>
    <TD align=center nowrap colspan=5><B><FONT size=1 face="serif">Assets for
          Which Advisory Fee is</FONT></B></TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap style="border-bottom:1px solid #000000;"></TD>
    <TD style="border-bottom:1px solid #000000;"></TD>
    <TD align=center nowrap colspan=5 style="border-bottom:1px solid #000000;"><B><FONT size=1 face="serif">and
          Assets by Account Type</FONT></B> </TD>
    <TD style="border-bottom:1px solid #000000;"></TD>
    <TD colspan="5" align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=1 face="serif">Performance-Based</FONT></B></TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=center nowrap><B><FONT size=1 face="serif">Other</FONT></B> </TD>
    <TD></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=center nowrap><B><FONT size=1 face="serif">Other</FONT></B> </TD>
    <TD></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=left nowrap></TD>
  </TR>
  <TR valign="bottom">
    <TD align=center nowrap><B><FONT size=1 face="serif">(i) Name of</FONT></B> </TD>
    <TD></TD>
    <TD align=center nowrap><B><FONT size=1 face="serif">Registered</FONT></B> </TD>
    <TD></TD>
    <TD align=center nowrap><B><FONT size=1 face="serif">Other Pooled</FONT></B> </TD>
    <TD></TD>
    <TD align=left nowrap></TD>
    <TD></TD>
    <TD align=center nowrap><B><FONT size=1 face="serif">Registered</FONT></B> </TD>
    <TD></TD>
    <TD align=center nowrap><B><FONT size=1 face="serif">Other Pooled</FONT></B></TD>
    <TD></TD>
    <TD align=left nowrap></TD>
  </TR>
  <TR valign="bottom">
    <TD align=center nowrap><B><FONT size=1 face="serif">Portfolio</FONT></B> </TD>
    <TD></TD>
    <TD align=center nowrap><B><FONT size=1 face="serif">Investment</FONT></B> </TD>
    <TD></TD>
    <TD align=center nowrap><B><FONT size=1 face="serif">Investment</FONT></B> </TD>
    <TD></TD>
    <TD align=center nowrap><B><FONT size=1 face="serif">Other</FONT></B> </TD>
    <TD></TD>
    <TD width="12%" align=center nowrap><B><FONT size=1 face="serif">Investment</FONT></B> </TD>
    <TD></TD>
    <TD width="12%" align=center nowrap><B><FONT size=1 face="serif">Investment</FONT></B></TD>
    <TD></TD>
    <TD width="12%" align=center nowrap><B><FONT size=1 face="serif">Other</FONT></B> </TD>
  </TR>
  <TR valign="bottom">
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=1 face="serif">Manager</FONT></B> </TD>
    <TD style="border-bottom:1px solid #000000;"><p><font size=1>&nbsp;</font></p></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=1 face="serif">Companies</FONT></B> </TD>
    <TD style="border-bottom:1px solid #000000;"><p><font size=1>&nbsp;</font></p></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=1 face="serif">Vehicles</FONT></B> </TD>
    <TD style="border-bottom:1px solid #000000;"><p><font size=1>&nbsp;</font></p></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=1 face="serif">Accounts</FONT></B> </TD>
    <TD style="border-bottom:1px solid #000000;"><p><font size=1>&nbsp;</font></p></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=1 face="serif">Companies</FONT></B> </TD>
    <TD style="border-bottom:1px solid #000000;"><p><font size=1>&nbsp;</font></p></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=1 face="serif">Vehicles</FONT></B></TD>
    <TD style="border-bottom:1px solid #000000;"><p><font size=1>&nbsp;</font></p></TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><B><FONT size=1 face="serif">Accounts</FONT></B> </TD>
  </TR>
  <TR>
    <TD colspan=13></TD>
  </TR>
  <TR valign="bottom" bgcolor="#E5FFFF">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;&nbsp;<FONT size=1 face="serif">Scott
        Amero</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">48</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">38</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">258</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">0</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">3</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">21</FONT> </TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;40,182,202,768</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;6,954,333,971</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;95,887,026,723</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;0</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;2,577,310,124</FONT> </TD>
    <TD>&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;6,366,579,342</FONT> </TD>
  </TR>
  <TR valign="bottom" bgcolor="#E5FFFF">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;&nbsp;<FONT size=1 face="serif">Jeffrey
        Gary</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">17</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">12</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">17</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">0</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">5</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">5</FONT> </TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;7,990,123,814</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;3,521,329,269</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;7,450,262,711</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;0</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;2,134,982,068</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;929,839,511</FONT> </TD>
  </TR>
  <TR valign="bottom" bgcolor="#E5FFFF">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;&nbsp;<FONT size=1 face="serif">Mark
        Williams</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">9</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">17</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">2</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">0</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">11</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">1</FONT> </TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;3,797,096,245</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;5,624,729,433</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;180,860,442</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;0</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;4,255,521,628</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;27,911,281</FONT> </TD>
  </TR>
  <TR valign="bottom" bgcolor="#E5FFFF">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;&nbsp;<FONT size=1 face="serif">Kevin
        Booth</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">23</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">9</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">7</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">0</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">3</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">3</FONT> </TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;10,847,789,334</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;2,807,991,314</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;1,342,876,998</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;0</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;983,503,746</FONT> </TD>
    <TD>&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;597,096,279</FONT> </TD>
  </TR>
  <TR valign="bottom" bgcolor="#E5FFFF">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;&nbsp;<FONT size=1 face="serif">James
        Keenan</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">17</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">9</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">16</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">0</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">2</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">5</FONT> </TD>
  </TR>
  <TR valign="bottom">
    <TD align=left nowrap style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;7,990,123,814</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;2,533,806,875</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;3,031,198,440</FONT> </TD>
    <TD style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;0</FONT> </TD>
    <TD width="1%" style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;1,211,076,381</FONT> </TD>
    <TD width="1%" style="border-bottom:1px solid #000000;">&nbsp;</TD>
    <TD align=center nowrap style="border-bottom:1px solid #000000;"><FONT size=1 face="serif">&#36;780,980,221</FONT> </TD>
  </TR>
</TABLE>
<BR>
<div style="margin-left:50px"> <font size=2 face="serif">(iv) Potential Material
    Conflicts of Interest</font>

<P align="left">
<FONT size=2 face="serif">BlackRock, Inc. and its affiliates (collectively, herein &#147;BlackRock&#148;) has built a professional working environment, firm wide compliance culture and compliance procedures and systems designed to
protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees
and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the
Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have
a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, its affiliates and any officer, director, stockholder or employee may or may not have an interest in the
securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, or any of its affiliates, or any officer, director, stockholder, employee or any member of their families may take different actions than those recommended to the Fund
by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock&#146;s (or its affiliates&#146;) officers, directors or employees
are directors or officers, or companies as to which BlackRock or any of its affiliates or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Each portfolio manager
also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for the Fund. In this connection, it should be noted that certain portfolio managers currently manage certain accounts that are subject to
performance fees. In addition, certain portfolio managers assist in managing certain hedge funds and may be entitled to receive a portion of any incentive fees earned on such funds and a portion of such incentive fees may be voluntarily or
involuntarily deferred. Additional portfolio managers may in the future manage other such accounts or funds and may be entitled to receive incentive fees. </FONT></P> </div>

<HR noshade width="100%" size=4>



<P align="left" style="page-break-before:always"></P><PAGE><br>


<div style="margin-left:50px"> <font size=2 face="serif">As a fiduciary, BlackRock
    owes a duty of loyalty to its clients and must treat each client fairly.
    When BlackRock purchases or sells securities for more than one account, the
    trades must be allocated in a manner consistent with its fiduciary duties.
    BlackRock attempts to allocate investments in a fair and equitable manner
    among client accounts, with no account receiving preferential treatment.
    To this end, BlackRock has adopted a policy that is intended to ensure that
    investment opportunities are allocated fairly and equitably among client
    accounts over time. This policy also seeks to achieve reasonable efficiency
    in client transactions and provide BlackRock with sufficient flexibility
    to allocate investments in a manner that is consistent with the particular
    investment discipline and client base. </font>

<P align="left">
<FONT size=2 face="serif">(a)(3) As of October 31, 2007:</FONT></P></div>
<P align="left">
<I><FONT size=2 face="serif">Portfolio Manager Compensation </FONT></I><FONT size=2 face="serif"> </FONT></P>
<div style="margin-left:50px"> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<font size=2 face="serif">The
    portfolio manager compensation program of BlackRock is critical to BlackRock&#146;s
    ability to attract and retain the most talented asset management professionals.
    This program ensures that compensation is aligned with maximizing investment
    returns and it provides a competitive pay opportunity for competitive performance.</font>

<P align="left">
<I><FONT size=2 face="serif">Compensation Program </FONT></I><FONT size=2 face="serif"> </FONT></P>
<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The elements of total compensation for BlackRock portfolio managers are: fixed base salary, annual performance-based cash and stock compensation (cash and stock bonus) and other benefits.
BlackRock has balanced these components of pay to provide portfolio managers with a powerful incentive to achieve consistently superior investment performance. By design, portfolio manager compensation levels fluctuate &#151; both up and down &#151;
with the relative investment performance of the portfolios that they manage.</FONT></P>
<P align="left">
<I><FONT size=2 face="serif">Base Salary </FONT></I><FONT size=2 face="serif"> </FONT></P>
<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Under the BlackRock approach, like that of many asset management firms, fixed base salaries represent a relatively small portion of a portfolio manager&#146;s total compensation. This approach
serves to enhance the motivational value of the performance-based (and therefore variable) compensation elements of the compensation program.</FONT></P>
<P align="left">
<I><FONT size=2 face="serif">Performance-Based Compensation </FONT></I><FONT size=2 face="serif"> </FONT></P>
<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">BlackRock believes that the best interests of investors are served by recruiting and retaining exceptional asset management talent and managing their compensation within a consistent and
disciplined framework that emphasizes pay for performance in the context of an intensely competitive market for talent. To that end, the portfolio manager incentive compensation is based on a formulaic compensation program.</FONT></P>
<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">BlackRock&#146;s formulaic portfolio manager compensation program includes: pre-tax investment performance relative to the appropriate competitors or benchmarks over 1-, 3- and 5-year
performance periods and a measure of operational efficiency. If a portfolio manager&#146;s tenure is less than 5 years, performance periods will reflect time in position. Portfolio managers are compensated based on products they manage. For these
purposes, the performance of the Fund is compared to </FONT></P></div>

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<P align="left" style="page-break-before:always"></P><PAGE><br>


<div style="margin-left:50px"> <font size=2 face="serif">the Lipper Closed-end
    High Current Yield Funds classification. A smaller discretionary element
    of portfolio manager compensation may include consideration of: financial
    results, expense control, profit margins, strategic planning and implementation,
    quality of client service, market share, corporate reputation, capital allocation,
    compliance and risk control, leadership, workforce diversity, supervision,
    technology and innovation. All factors are considered collectively by BlackRock
    management.</font>

<P align="left">
<I><FONT size=2 face="serif">Cash Bonus </FONT></I><FONT size=2 face="serif"> </FONT></P>
<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Performance-based compensation is distributed to portfolio managers in a combination of cash and stock. Typically, the cash bonus, when combined with base salary, represents more than 60% of
total compensation for the portfolio managers.</FONT></P></div>
<div style="margin-left:50px">
<P align="left">
<I><FONT size=2 face="serif">Stock Bonus </FONT></I><FONT size=2 face="serif"> </FONT></P>
<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">A portion of the dollar value of the total annual performance-based bonus is paid in restricted shares of stock of BlackRock, Inc. (the &#147;Company&#148;). Paying a portion of annual bonuses
in stock puts compensation earned by a portfolio manager for a given year &#147;at risk&#148; based on the Company&#146;s ability to sustain and improve its performance over future periods. The ultimate value of stock bonuses is dependent on future
Company stock price performance. As such, the stock bonus aligns each portfolio manager&#146;s financial interests with those of the Company&#146;s shareholders and encourages a balance between short-term goals and long-term strategic objectives.
Management strongly believes that providing a significant portion of competitive performance-based compensation in stock is in the best interests of investors and shareholders. This approach ensures that portfolio managers participate as
shareholders in both the &#147;downside risk&#148; and &#147;upside opportunity&#148; of the Company&#146;s performance. Portfolio managers, therefore, have a direct incentive to protect the Company&#146;s reputation for integrity.</FONT></P>
<P align="left">
<I><FONT size=2 face="serif">Other Benefits </FONT></I><FONT size=2 face="serif"> </FONT></P>
<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Portfolio managers are also eligible to participate in broad-based plans offered generally to BlackRock employees, including broad-based retirement, 401(k), health, and other employee benefit
plans. For example, BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP) and the BlackRock Employee Stock
Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 6% of eligible pay contributed to the plan capped at &#36;4,000 per year, and a company retirement contribution equal to 3% of
eligible compensation, plus an additional contribution of 2% for any year in which BlackRock has positive net operating income. The RSP offers a range of investment options, including registered investment companies managed by the firm. Company
contributions follow the investment direction set by participants for their own contributions or absent, employee investment direction, are invested into a stable value fund. The ESPP allows for investment in BlackRock common stock at a 5% discount
on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of &#36;25,000. Each portfolio manager is eligible to participate in these plans. </FONT></P></div>

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<P align="left" style="page-break-before:always"></P><PAGE><br>



<table width="100%" border="0" cellspacing="0" cellpadding="0">
  <tr>
    <td width="5%" valign="top" nowrap>&nbsp;</td>
    <td><FONT size=2 face="serif">(a)(4) </FONT><I><FONT size=2 face="serif">Beneficial
          Ownership of Securities. </FONT></I><FONT size=2 face="serif">As of
          October 31, 2007, none of Messrs. Williams, Gary, Keenan or Booth beneficially
          owned any stock issued by the Fund. As of October 31, 2007, Mr. Amero
          beneficially owned stock issued by the Fund in the range of &#36;10,001
    to &#36;50,000. </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 9 &#150; &nbsp;</FONT></td>
    <td><FONT size=2 face="serif"> Purchases of Equity Securities by Closed-End
        Management Investment Company and Affiliated Purchasers &#150; Not Applicable
    due to no such purchases during the period covered by this report. </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 10 &#150;</FONT></td>
    <td><FONT size=2 face="serif"> Submission of Matters to a Vote of Security
        Holders &#150; The registrant&#146;s Nominating and Governance Committee
        will consider nominees to the Board recommended by shareholders when
        a vacancy becomes available. Shareholders who wish to recommend a nominee
        should send nominations which include biographical information and set
        forth the qualifications of the proposed nominee to the registrant&#146;s
    Secretary. There have been no material changes to these procedures.</FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 11 &#150;</FONT></td>
    <td><FONT size=2 face="serif">Controls and Procedures </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">11(a) &#150; </FONT></td>
    <td><FONT size=2 face="serif">The registrant&#146;s principal executive and
        principal financial officers or persons performing similar functions
        have concluded that the registrant&#146;s disclosure controls and procedures
        (as defined in Rule 30a-3(c) under the Investment Company Act of 1940,
        as amended (the &#147;1940 Act&#148;)) are effective as of a date within
        90 days of the filing of this report based on the evaluation of these
        controls and procedures required by Rule 30a-3(b) under the 1940 Act
        and Rule 13a-15(b) under the Securities and Exchange Act of 1934, as
    amended. </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">11(b) &#150;</FONT></td>
    <td><FONT size=2 face="serif"> There were no changes in the registrant&#146;s
        internal control over financial reporting (as defined in Rule 30a-3(d)
        under the 1940 Act) that occurred during the second fiscal quarter of
        the period covered by this report that have materially affected, or are
        reasonably likely to materially affect, the registrant&#146;s internal
    control over financial reporting. </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">Item 12 &#150; &nbsp;</FONT></td>
    <td><FONT size=2 face="serif"> Exhibits attached hereto
    </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">12(a)(1) &#150; &nbsp;</FONT></td>
    <td><FONT size=2 face="serif">Code of Ethics &#150; See Item 2 </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">12(a)(2) &#150;</FONT></td>
    <td><FONT size=2 face="serif">Certifications &#150; Attached hereto </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">12(a)(3) &#150;</FONT></td>
    <td><FONT size=2 face="serif">Not Applicable </FONT></td>
  </tr>
  <tr>
    <td valign="top" nowrap>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr>
    <td valign="top" nowrap><FONT size=2 face="serif">12(b) &#150;</FONT></td>
    <td><FONT size=2 face="serif">Certifications &#150; Attached hereto </FONT></td>
  </tr>
</table>
<P align="left">&nbsp;</P>
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<P align="left" style="page-break-before:always"></P><PAGE><br>



<P align="left">
<FONT size=2 face="serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized.</FONT></P>
<P align="left">
<FONT size=2 face="serif">BlackRock Limited Duration Income Trust </FONT></P>
<P align="left">
<FONT size=2 face="serif">By:&nbsp;&nbsp;<u>/s/ Donald C. Burke&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><BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Donald C. Burke, <br>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Executive Officer of  <br>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BlackRock Limited Duration Income Trust </FONT></P>
<P align="left">
<FONT size=2 face="serif">Date: December 19, 2007 </FONT></P>
<P align="left">
<FONT size=2 face="serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on
the dates indicated. </FONT></P>
<P align="left">
<FONT size=2 face="serif">By:&nbsp;&nbsp;<u>/s/ Donald C. Burke&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><BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Donald C. Burke, </FONT><br>
<FONT size=2 face="serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Executive Officer (principal executive officer) of  <br>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BlackRock Limited Duration Income Trust </FONT></P>
<P align="left">
<FONT size=2 face="serif">Date: December 19, 2007 </FONT></P>
<P align="left">
<FONT size=2 face="serif">By: <u>/s/ Neal J. Andrews&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><BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Neal J. Andrews, </FONT><FONT size=2 face="serif"><br>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Financial Officer (principal financial officer) of <br>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BlackRock Limited Duration Income Trust </FONT></P>
<P align="left">
<FONT size=2 face="serif">Date: December 19, 2007</FONT></P>

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<B><FONT size=2 face="serif">EX 99.CERT</FONT></B><BR>
<B><FONT size=2 face="serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF </FONT></B><BR>
<B><FONT size=2 face="serif">THE SARBANES-OXLEY ACT OF 2002 </FONT></B></P>
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<P align="left">
<FONT size=2 face="serif">I, Donald C. Burke, Chief Executive Officer (principal executive officer) of BlackRock Limited Duration Income Trust, certify that:</FONT></P>
<P align="left">
<FONT size=2 face="serif">1.</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">I have reviewed this report on Form N-CSR of BlackRock Limited Duration Income Trust;</FONT></P>
<P align="left">
<FONT size=2 face="serif">2. </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; </FONT></P>
<P align="left">
<FONT size=2 face="serif">3. </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Based on my knowledge, the financial statements, and other financial information included in this report fairly present in all material respects the
financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;</FONT></P>
<P align="left">
<FONT size=2 face="serif">4. </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">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:</FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">a) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">designed
such disclosure controls and procedures, or caused such disclosure controls and
procedures to be designed under our supervision, to ensure  that material information
relating to the registrant, including its consolidated subsidiaries, is made
known to us by others within those entities, particularly during the period in
which this report is being prepared;</FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">b) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">c) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">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 </FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">d) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the second fiscal quarter
of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P>
<P align="left">
<FONT size=2 face="serif">5. </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The registrant&#146;s other certifying officer(s) and I have disclosed to the registrant&#146;s auditors and the audit committees of the
registrant&#146;s board of directors (or persons performing the equivalent functions):</FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">a) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">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 </FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">b) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">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. </FONT></P>
<P align="left">
<FONT size=2 face="serif">Date: December 19, 2007</FONT></P>
<P align="left"><FONT size=2 face="serif"> <u>/s/ Donald C. Burke&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u></FONT><br>
<FONT size=2 face="serif">Donald C. Burke, </FONT><br>
<FONT size=2 face="serif">Chief Executive Officer (principal executive officer) of <br>
BlackRock Limited Duration Income Trust</FONT></P>
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<P align="left">
<B><FONT size=2 face="serif">EX 99.CERT</FONT></B><BR>
<B><FONT size=2 face="serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF </FONT></B><BR>
<B><FONT size=2 face="serif">THE SARBANES-OXLEY ACT OF 2002 </FONT></B></P>
<hr size="1" noshade>
<P align="left">
<FONT size=2 face="serif">I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Limited Duration Income Trust, certify that:</FONT></P>
<P align="left">
<FONT size=2 face="serif">1. </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">I have reviewed this report on Form N-CSR of BlackRock Limited Duration Income Trust;</FONT></P>
<P align="left">
<FONT size=2 face="serif">2. </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; </FONT></P>
<P align="left">
<FONT size=2 face="serif">3. </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">Based on my knowledge, the financial statements, and other financial information included in this report fairly present in all material respects the
financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;</FONT></P>
<P align="left">
<FONT size=2 face="serif">4. </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">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:</FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">a) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure
that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;</FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">b) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">c) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">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 </FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">d) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the second fiscal quarter
of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and </FONT></P>
<P align="left">
<FONT size=2 face="serif">5. </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">The registrant&#146;s other certifying officer(s) and I have disclosed to the registrant&#146;s auditors and the audit committees of the
registrant&#146;s board of directors (or persons performing the equivalent functions):</FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">a) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">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 </FONT></P>
<P align="left" style="margin-left:2em;">
<FONT size=2 face="serif">b) </FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=2 face="serif">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. </FONT></P>
<P align="left">
<FONT size=2 face="serif">Date: December 19, 2007</FONT></P>
<P align="left"><FONT size=2 face="serif"><u>/s/ Neal J. Andrews&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u></FONT><br>
<FONT size=2 face="serif">Neal J. Andrews,</FONT><br>
<FONT size=2 face="serif">Chief Financial Officer (principal financial officer) of <br>
BlackRock Limited Duration Income Trust</FONT></P>
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<TYPE>EX-99.906CERT
<SEQUENCE>6
<FILENAME>c51481_ex99-906cert.htm
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<P align="left">
<FONT size=2 face="serif">Exhibit 99.1350CERT </FONT></P>
<P align="center">
<B><FONT size=2 face="serif">Certification Pursuant to Rule 30a-2(b) under the 1940 Act and </FONT></B><BR>
<B><FONT size=2 face="serif">Section 906 of the Sarbanes Oxley Act </FONT></B></P>
<P align="justify">
<FONT size=2 face="serif">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Limited Duration Income Trust (the &#147;Registrant&#148;), hereby certifies, to the best of his knowledge, that the Registrant&#146;s Report on Form
N-CSR for the period ended October 31, 2007, (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the Registrant.</FONT></P>
<P align="left">
<FONT size=2 face="serif">Date: December 19, 2007</FONT></P>
<P align="left"><u><FONT size=2 face="serif">/s/ Donald C. Burke&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></u><FONT size=2 face="serif"><br>
Donald C. Burke, <br>
Chief Executive Officer (principal executive officer) of <br>
BlackRock Limited Duration Income Trust</FONT></P>
<P align="justify">
<FONT size=2 face="serif">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Limited Duration Income Trust (the &#147;Registrant&#148;), hereby certifies, to the best of his knowledge, that the Registrant&#146;s Report on Form
N-CSR for the period ended October 31, 2007, (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the Registrant.</FONT></P>
<P align="left">
<FONT size=2 face="serif">Date: December 19, 2007</FONT></P>
<P align="left"><FONT size=2 face="serif"><u>/s/ Neal J. Andrews&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</u><br>
Neal J. Andrews, <br>
Chief Financial Officer (principal financial officer) of <br>
BlackRock Limited Duration Income Trust</FONT></P>
<P align="justify">
<FONT size=2 face="serif">This certification is being furnished pursuant to Rule 30a 2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N CSR with the Securities and
Exchange Commission</FONT><B><FONT size=2 face="serif">. </FONT></B></P>

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<TYPE>EX-99.PROXYPOL
<SEQUENCE>7
<FILENAME>c51481_ex99proxypol.htm
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<P align="center">&nbsp;</P>
<P align="center"><FONT size=6 face="serif">Proxy Voting Policies and Procedures </FONT></P>
<P align="center">&nbsp;</P>
<P align="center">
<FONT size=5 face="serif">For BlackRock Advisors, LLC<br>
And Its Affiliated SEC Registered Investment Advisers </FONT></P>
<P align="center">
<FONT size=5 face="serif">September 30, 2006 </FONT></P>
<P align="center">&nbsp;</P>
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<B><FONT size=5 face="serif">Proxy Voting Policies and Procedures </FONT></B></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These Proxy Voting Policies and Procedures (&#147;Policy&#148;) for BlackRock Advisors, LLC and its affiliated U.S. registered investment advisers</FONT><SUP><FONT face="serif">1</FONT></SUP><FONT face="serif">
(&#147;BlackRock&#148;) reflect our duty as a fiduciary under the Investment Advisers Act of 1940 (the &#147;Advisers Act&#148;) to vote proxies in the best interests of our clients.  BlackRock serves as the investment manager for investment
companies, other commingled investment vehicles and/or separate accounts of institutional and other clients. The right to vote proxies for securities held in such accounts belongs to BlackRock&#146;s clients. Certain clients of BlackRock have
retained the right to vote such proxies in general or in specific circumstances.</FONT><SUP><FONT face="serif">2</FONT></SUP><FONT face="serif"> Other clients, however, have delegated to BlackRock the right to vote proxies for securities held in
their accounts as part of BlackRock&#146;s authority to manage, acquire and dispose of account assets.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">When BlackRock votes proxies for a client that has delegated to BlackRock proxy voting authority, BlackRock acts as the client&#146;s agent. Under the Advisers Act, an investment adviser is a
fiduciary that owes each of its clients a duty of care and loyalty with respect to all services the adviser undertakes on the client&#146;s behalf, including proxy voting. BlackRock is therefore subject to a fiduciary duty to vote proxies in a
manner BlackRock believes is consistent with the client&#146;s best interests,</FONT><SUP><FONT face="serif">3</FONT></SUP><FONT face="serif"> whether or not the client&#146;s proxy voting is subject to the fiduciary standards of the Employee
Retirement Income Security Act of 1974 (&#147;ERISA&#148;).</FONT><SUP><FONT face="serif">4</FONT></SUP><FONT face="serif"> When voting proxies for client accounts (including investment companies), BlackRock&#146;s primary objective is to make
voting decisions solely in the best interests of clients and ERISA clients&#146; plan beneficiaries and participants. In fulfilling its obligations to clients, BlackRock will seek to act in a manner that it believes is most likely to enhance the
economic value of the underlying securities held in client accounts.</FONT><SUP><FONT face="serif">5</FONT></SUP><FONT face="serif"> It is imperative that BlackRock considers the interests of its clients, and not the interests of BlackRock, when
voting proxies and that real (or perceived) material conflicts that may arise between BlackRock&#146;s interest and those of BlackRock&#146;s clients are properly addressed and resolved.</FONT></P>
<font size="2">____________________<br>
</font>
<P>
  <font size="2"><SUP><FONT face="serif">1</FONT></SUP><FONT face="serif"> The Policy does not apply to BlackRock Asset Management U.K. Limited and BlackRock Investment Managers International Limited, which are U.S. registered investment advisers based
in the United Kingdom. </FONT></font></P>
<P>
  <font size="2"><SUP><FONT face="serif">2</FONT></SUP><FONT face="serif"> In certain situations, a client may direct BlackRock to vote in accordance with the client&#146;s proxy voting policies. In these situations, BlackRock will seek to comply with
such policies to the extent it would not be inconsistent with other BlackRock legal responsibilities. </FONT></font></P>
<P>
  <font size="2"><SUP><FONT face="serif">3</FONT></SUP><FONT face="serif">  Letter from Harvey L. Pitt, Chairman, SEC, to John P.M. Higgins, President, Ram Trust Services (February 12, 2002) (Section 206 of the Investment Advisers Act imposes a
fiduciary responsibility to vote proxies fairly and in the best interests of clients); SEC Release No. IA-2106 (February 3, 2003). </FONT></font></P>
<P>
  <font size="2"><SUP><FONT face="serif">4 </FONT></SUP><FONT face="serif">DOL Interpretative Bulletin of Sections 402, 403 and 404 of ERISA at 29 C.F.R. 2509.94 -2 </FONT></font></P>
<P>
  <font size="2"><SUP><FONT face="serif">5</FONT></SUP><FONT face="serif"> Other considerations, such as social, labor, environmental or other policies, may be of interest to particular clients. While BlackRock is cognizant of the importance of such
considerations, when voting proxies it will generally take such matters into account only to the extent that they have a direct bearing on the economic value of the underlying securities. To the extent that a BlackRock client desires to pursue a
particular social, labor, environmental or other agenda through the proxy votes made for its securities held through BlackRock as investment adviser, BlackRock encourages the client to consider retaining direct proxy voting authority or to appoint
independently a special proxy voting fiduciary other than BlackRock. </FONT></font></P>
<P>&nbsp;</P>
<P align="center">
<FONT size=2 face="sans-serif">1 </FONT></P>

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">Advisers Act Rule 206(4)-6 was adopted by the SEC in 2003 and requires, among other things, that an investment adviser that exercises voting authority over clients&#146; proxy voting adopt policies
and procedures reasonably designed to ensure that the adviser votes proxies in the best interests of clients, discloses to its clients information about those policies and procedures and also discloses to clients how they may obtain information on
how the adviser has voted their proxies. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">In light of such fiduciary duties, the requirements of Rule 206(4)-6, and given the complexity of the issues that may be raised in connection with proxy votes, BlackRock has adopted these policies and
procedures.  BlackRock&#146;s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the &#147;Committee&#148;), addresses proxy voting issues on behalf of BlackRock and its clients.</FONT><SUP><FONT face="serif">6
</FONT></SUP><FONT face="serif">The Committee is comprised of senior members of BlackRock&#146;s Portfolio Management Group and advised by BlackRock&#146;s Legal and Compliance Department. </FONT></P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<font size="2">____________________<br>
</font>
<P>
  <font size="2"><SUP><FONT face="serif">6</FONT></SUP><FONT face="serif"> Subject to the Proxy Voting Policies of Merrill Lynch Bank &amp; Trust Company FSB, the Committee may also function jointly as the Proxy Voting Committee for Merrill Lynch Bank
&amp; Trust Company FSB trust accounts managed by personnel dually-employed by BlackRock. </FONT></font></P>
<P>&nbsp;</P>
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<FONT size=2 face="sans-serif">2 </FONT></P>

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<U><FONT size=5 face="serif">I.Scope of Committee Responsibilities</FONT></U><FONT size=5 face="serif"> </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee shall have the responsibility for determining how to address proxy votes made on behalf of all BlackRock clients, except for clients who have retained the right to vote their own proxies, either generally or on any
specific matter. In so doing, the Committee shall seek to ensure that proxy votes are made in the best interests of clients, and that proxy votes are determined in a manner free from unwarranted or inappropriate influences. The Committee shall also
oversee the overall administration of proxy voting for BlackRock accounts.</FONT><SUP><FONT face="serif">7</FONT></SUP></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee shall establish BlackRock&#146;s proxy voting guidelines, with such advice, participation and research as the Committee deems appropriate from portfolio managers, proxy voting services
or other knowledgeable interested parties. As it is anticipated that there will not necessarily be a &#147;right&#148; way to vote proxies on any given issue applicable to all facts and circumstances, the Committee shall also be responsible for
determining how the proxy voting guidelines will be applied to specific proxy votes, in light of each issuer&#146;s unique structure, management, strategic options and, in certain circumstances, probable economic and other anticipated consequences
of alternative actions. In so doing, the Committee may determine to vote a particular proxy in a manner contrary to its generally stated guidelines.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee may determine that the subject matter of certain proxy issues are not suitable for general voting guidelines and requires a case-by-case determination, in which case the Committee may
elect not to adopt a specific voting guideline applicable to such issues. BlackRock believes that certain proxy voting issues &#150; such as approval of mergers and other significant corporate transactions &#150; require investment analysis akin to
investment decisions, and are therefore not suitable for general guidelines. The Committee may elect to adopt a common BlackRock position on certain proxy votes that are akin to investment decisions, or determine to permit portfolio managers to make
individual decisions on how best to maximize economic value for the accounts for which they are responsible (similar to normal buy/sell investment decisions made by such portfolio managers).</FONT><SUP><FONT face="serif">8</FONT></SUP><FONT
face="serif"> </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">While it is expected that BlackRock, as a fiduciary, will generally seek to vote proxies over which BlackRock exercises voting authority in a uniform manner for all BlackRock clients, the Committee,
in conjunction with the portfolio manager of an account, may determine that the specific circumstances of such account require that such account&#146;s proxies be voted differently due to such account&#146;s investment objective or other factors
that differentiate it from other accounts. In addition, on proxy votes that are akin to investment decisions, BlackRock believes portfolio managers may from time to time </FONT></P>
<font size="2">____________________<br>
</font>
<P>
  <font size="2"><SUP><FONT face="serif">7</FONT></SUP><FONT face="serif"> The Committee may delegate day-to-day administrative responsibilities to other BlackRock personnel and/or outside service providers, as appropriate.</FONT></font></P>
<P>
  <font size="2"><SUP><FONT face="serif">8</FONT></SUP><FONT face="serif"> The Committee will normally defer to portfolio managers on proxy votes that are akin to investment decisions <I>except for</I> proxy votes that involve a material conflict of interest, in which case it will determine, in its discretion, the appropriate voting process so as to address such conflict.</FONT></font></P>
<P>&nbsp;</P>
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<FONT face="serif">legitimately reach differing but equally valid views, as fiduciaries for BlackRock&#146;s clients, on how best to maximize economic value in respect of a particular investment. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee will also be responsible for ensuring the maintenance of records of each proxy vote, as required by Advisers Act Rule 204-2.</FONT><SUP><FONT face="serif">9</FONT></SUP><FONT
face="serif"> All records will be maintained in accordance with applicable law. Except as may be required by applicable legal requirements, or as otherwise set forth herein, the Committee&#146;s determinations and records shall be treated as
proprietary, nonpublic and confidential. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee shall be assisted by other BlackRock personnel, as may be appropriate. In particular, the Committee has delegated to the BlackRock Operations Department responsibility for monitoring
corporate actions and ensuring that proxy votes are submitted in a timely fashion. The Operations Department shall ensure that proxy voting issues are promptly brought to the Committee&#146;s attention and that the Committee&#146;s proxy voting
decisions are appropriately disseminated and implemented. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">To assist BlackRock in voting proxies, the Committee may retain the services of a firm providing such services. BlackRock has currently retained Institutional Shareholder Services (&#147;ISS&#148;) in
that role. ISS is an independent adviser that specializes in providing a variety of fiduciary-level proxy-related services to institutional investment managers, plan sponsors, custodians, consultants, and other institutional investors. The services
provided to BlackRock may include, but are not limited to, in-depth research, voting recommendations (which the Committee is not obligated to follow), vote execution, and recordkeeping.</FONT></P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<font size="2">____________________<br>
</font>
<P>
  <font size="2"><SUP><FONT face="serif">9</FONT></SUP><FONT face="serif">  The Committee may delegate the actual maintenance of such records to an outside service provider. Currently, the Committee has delegated the maintenance of such records to
Institutional Shareholder Services. </FONT></font></P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
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<FONT size=2 face="sans-serif">4 </FONT></P>

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<FONT size=5 face="serif">II.</FONT><FONT size=5 face="sans-serif"> </FONT><U><FONT size=5 face="serif">Special Circumstances</FONT></U><FONT size=5 face="serif"> </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><U><FONT face="serif">Routine Consents</FONT></U></B><FONT face="serif">. BlackRock may be asked from time to time to consent to an amendment to, or grant a waiver under, a loan agreement, partnership agreement,
indenture or other governing document of a specific financial instrument held by BlackRock clients.  BlackRock will generally treat such requests for consents not as &#147;proxies&#148; subject to these Proxy Voting Policies and Procedures but as
investment matters to be dealt with by the responsible BlackRock investment professionals would, provided that such consents (i) do not relate to the election of a board of directors or appointment of auditors of a public company, and (ii) either
(A) would not otherwise materially affect the structure, management or control of a public company, or (B) relate to a company in which BlackRock clients hold only interests in bank loans or debt securities and are consistent with customary
standards and practices for such instruments.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><U><FONT face="serif">Securities on Loan</FONT></U></B><FONT face="serif">. Registered investment companies that are advised by BlackRock as well as certain of our advisory clients may participate in securities
lending programs.  Under most securities lending arrangements, securities on loan may not be voted by the lender (unless the loan is recalled). BlackRock believes that each client has the right to determine whether participating in a securities
lending program enhances returns, to contract with the securities lending agent of its choice and to structure a securities lending program, through its lending agent, that balances any tension between loaning and voting securities in a matter that
satisfies such client. If client has decided to participate in a securities lending program, BlackRock will therefore defer to the client&#146;s determination and not attempt to seek recalls solely for the purpose of voting routine proxies as this
could impact the returns received from securities lending and make the client a less desirable lender in a marketplace. Where a client retains a lending agent that is unaffiliated with BlackRock, BlackRock will generally not seek to vote proxies
relating to securities on loan because BlackRock does not have a contractual right to recall such loaned securities for the purpose of voting proxies. Where BlackRock or an affiliate acts as the lending agent, BlackRock will also generally not seek
to recall loaned securities for proxy voting purposes, unless the portfolio manager responsible for the account or the Committee determines that voting the proxy is in the client&#146;s best interest and requests that the security be recalled.
</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><U><FONT face="serif">Voting Proxies for Non-US Companies</FONT></U></B><FONT face="serif">. While the proxy voting process is well established in the United States, voting proxies of non-US companies frequently
involves logistical issues which can affect BlackRock&#146;s ability to vote such proxies, as well as the desirability of voting such proxies. These issues include (but are not limited to): (i) untimely notice of shareholder meetings, (ii)
restrictions on a foreigner&#146;s ability to exercise votes, (iii) requirements to vote proxies in person, (iv) &#147;shareblocking&#148; (requirements that investors who exercise their voting rights surrender the right to dispose of their holdings
for some specified period in proximity to the shareholder meeting), (v) potential difficulties in translating the proxy, and (vi) requirements to provide local agents with unrestricted powers of attorney to facilitate voting instructions. </FONT></P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P align="center">
<FONT size=2 face="sans-serif">5 </FONT></P>

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<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_7"></A>

<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">As a consequence, BlackRock votes proxies of non-US companies only on a &#147;best-efforts&#148; basis. In addition, the Committee may determine that it is generally in the best interests of BlackRock
clients </FONT><B><FONT face="serif">not</FONT></B><FONT face="serif"> to vote proxies of companies in certain countries if the Committee determines that the costs (including but not limited to opportunity costs associated with shareblocking
constraints) associated with exercising a vote generally are expected to outweigh the benefit the client will derive by voting on the issuer&#146;s proposal. If the Committee so determines in the case of a particular country, the Committee (upon
advice from BlackRock portfolio managers) may override such determination with respect to a particular issuer&#146;s shareholder meeting if the Committee believes the benefits of seeking to exercise a vote at such meeting outweighs the costs, in
which case BlackRock will seek to vote on a best-efforts basis. </FONT></P>
<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><U><FONT face="serif">Securities Sold After Record Date</FONT></U></B><FONT face="serif">.  With respect to votes in connection with securities held on a particular record date but sold from a client account prior to
the holding of the related meeting, BlackRock may take no action on proposals to be voted on in such meeting. </FONT></P>
<P align="left">
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B><U><FONT face="serif">Conflicts of Interest.</FONT></U></B><FONT face="serif"> From time to time, BlackRock may be required to vote proxies in respect of an issuer that is an affiliate of BlackRock (a &#147;BlackRock
Affiliate&#148;), or a money management or other client of BlackRock (a &#147;BlackRock Client&#148;).</FONT><SUP><FONT face="serif">10 </FONT></SUP><FONT face="serif">In such event, provided that the Committee is aware of the real or potential
conflict, the following procedures apply: </FONT></P>

<table width="100%"  border="0" cellspacing="0" cellpadding="0">
  <tr valign="top">
    <td width="6%"><div align="right"><font face="sans-serif">&#149; </font><font face="sans-serif">&nbsp; </font><font face="serif"></font></div></td>
    <td width="2%">&nbsp;</td>
    <td width="92%"><font face="serif">The Committee intends to adhere to the voting guidelines set forth herein for all proxy issues including matters involving BlackRock Affiliates and BlackRock Clients. The Committee may, in its discretion for the purposes of ensuring that an independent determination is reached, retain an independent fiduciary to advise the Committee on how to vote or to cast votes on behalf of BlackRock&#146;s clients; and </font></td>
  </tr>
  <tr valign="top">
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr valign="top">
    <td><div align="right"><font face="sans-serif">&#149; </font><font face="sans-serif">&nbsp; </font><font face="serif"></font></div></td>
    <td>&nbsp;</td>
    <td><font face="serif">if the Committee determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Committee shall determine how to vote the proxy after consulting with the BlackRock Legal and Compliance Department and concluding that the vote cast is in the client&#146;s best interest notwithstanding the conflict.</font></td>
  </tr>
  <tr valign="top">
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr valign="top">
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
  <tr valign="top">
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
  </tr>
</table>
<P align="left">&nbsp;</P>
<P align="left">&nbsp;</P>
<P align="left">&nbsp;</P>
<P align="left">&nbsp;</P>
<font size="2">____________________<br>
</font>
<P align="left">
  <font size="2"><SUP><FONT face="serif">10</FONT></SUP><FONT face="serif"> Such issuers may include investment companies for which BlackRock provides investment advisory, administrative and/or other services.</FONT></font></P>
<P align="left">&nbsp;</P>
<P align="center"> <FONT size=2 face="sans-serif">6</FONT></P>
<P align="right">&nbsp;</P>

<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_8"></A>

<P>
<FONT size=5 face="serif">III. </FONT><U><FONT size=5 face="serif">Voting Guidelines</FONT></U><FONT size=5 face="serif"> </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee has determined that it is appropriate and in the best interests of BlackRock&#146;s clients to adopt the following voting guidelines, which represent the Committee&#146;s usual voting
position on certain recurring proxy issues that are not expected to involve unusual circumstances. With respect to any particular proxy issue, however, the Committee may elect to vote differently than a voting guideline if the Committee determines
that doing so is, in the Committee&#146;s judgment, in the best interest of its clients. The guidelines may be reviewed at any time upon the request of any Committee member and may be amended or deleted upon the vote of a majority of voting
Committee members present at a Committee meeting for which there is a quorum. </FONT></P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P>&nbsp;</P>
<P align="center">
<FONT size=2 face="sans-serif">7 </FONT></P>

<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_9"></A>

<P>
<B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=4 face="serif">A. Boards of Directors </FONT></B></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These proposals concern those issues submitted to shareholders relating to the composition of the Board of Directors of companies other than investment companies. As a general matter, the Committee
believes that a company&#146;s Board of Directors (rather than shareholders) is most likely to have access to important, nonpublic information regarding a company&#146;s business and prospects, and is therefore best-positioned to set corporate
policy and oversee management. The Committee therefore believes that the foundation of good corporate governance is the election of qualified, independent corporate directors who are likely to diligently represent the interests of shareholders and
oversee management of the corporation in a manner that will seek to maximize shareholder value over time. In individual cases, the Committee may look at a Director nominee&#146;s history of representing shareholder interests as a director of other
companies, or other factors to the extent the Committee deems relevant. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee&#146;s general policy is to vote: </FONT></P>
<TABLE border=0 cellspacing=0 cellpadding=0 width=100%>
<TR valign="bottom">
	<TD width=4% align=left><HR noshade size=1></TD>
	<TD width=9%><HR noshade size=1>
	</TD>
	<TD width=8% align=left><HR noshade size=1>

	</TD>
	<TD width=2%><HR noshade size=1>
	</TD>
	<TD width=75% align=left><HR noshade size=1>

	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left><B><FONT face="serif">#</FONT></B>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>&nbsp;</TD>
</TR>
<TR valign="top">
	<TD>&nbsp;
	</TD>
	<TD>	</TD>
	<TD colspan=3><B><FONT face="serif">VOTE and DESCRIPTION</FONT></B>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD colspan=5><HR noshade size=1>

	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>
<FONT face="serif">A.1</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>
<FONT face="serif">FOR nominees for director of United States companies in</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>
<FONT face="serif">uncontested elections, </FONT><I><FONT face="serif">except for </FONT></I><FONT face="serif">nominees who</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=right>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">have missed at least two meetings and, as a result,</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">attended less than 75% of meetings of the Board of</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">Directors and its committees the previous year, unless the</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">nominee missed the meeting(s) due to illness or company</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">business</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=right>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">voted to implement or renew a &#147;dead-hand&#148; poison pill</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=right>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">ignored a shareholder proposal that was approved by</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">either a majority of the shares outstanding in any year or</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">by the majority of votes cast for two consecutive years</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=right>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">failed to act on takeover offers where the majority of the</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=center>&nbsp;</TD>
    <TD width=9% align=center>&nbsp;</TD>
    <TD width=8% align=center>&nbsp;</TD>
    <TD width=2% align=center>&nbsp;</TD>
    <TD width=75% align=center><div align="left"> <FONT face="serif">shareholders have tendered their shares</FONT> </div></TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=right>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">are corporate insiders who serve on the audit,</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">compensation or nominating committees or on a full</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">Board that does not have such committees composed</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">exclusively of independent directors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=right>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">on a case-by-case basis, have served as directors of other</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">companies with allegedly poor corporate governance</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=8% align=right>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=75% align=left>
<FONT face="serif">sit on more than six boards of public companies</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
  <TD align=left><font face="serif">A.2</font>&nbsp; </TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><font face="serif">FOR nominees for directors of non-U.S. companies in uncontested</font>&nbsp; </TD>
</TR>
<TR valign="top">
  <TD align=left>&nbsp;</TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><FONT face="serif">elections, </FONT><I><FONT face="serif">except for </FONT></I><FONT face="serif">nominees from whom the Committee</FONT> </TD>
</TR>
<TR valign="top">
  <TD align=left>&nbsp;</TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><font face="serif">determines to withhold votes due to the nominees&#146; poor records of</font>&nbsp; </TD>
</TR>
<TR valign="top">
  <TD align=left>&nbsp;</TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><FONT face="serif">representing shareholder interests, on a case-by-case basis</FONT> </TD>
</TR>
<TR valign="top">
  <TD align=left><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD colspan=3 align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
  <TD align=left><font face="serif">A.3</font>&nbsp; </TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><font face="serif">FOR proposals to declassify Boards of Directors, except where</font>&nbsp; </TD>
</TR>
<TR valign="top">
  <TD align=left>&nbsp;</TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><font face="serif">there exists a legitimate purpose for classifying boards</font> </TD>
</TR>
<TR valign="top">
  <TD align=left><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD colspan=3 align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
  <TD align=left><font face="serif">A.4</font>&nbsp; </TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><font face="serif">AGAINST proposals to classify Boards of Directors, except where</font>&nbsp; </TD>
</TR>
<TR valign="top">
  <TD align=left>&nbsp;</TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><font face="serif">there exists a legitimate purpose for classifying boards</font> </TD>
</TR>
<TR valign="top">
	<TD width=4% align=left><HR noshade size=1></TD>
	<TD width=9%><HR noshade size=1>
	</TD>
	<TD width=85% colspan=3 align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=6% align=center>&nbsp;</TD>
    <TD width=9% align=center>&nbsp;</TD>
    <TD width=8% align=center>&nbsp;</TD>
    <TD width=2% align=center>&nbsp;</TD>
    <TD width=75% align=center>&nbsp;</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>&nbsp;</TD>
</TR>
<TR valign="top">
	<TD width=100% colspan=5 align=center>&nbsp;</TD>
</TR>
<TR valign="top">
	<TD width=100% colspan=5>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>&nbsp;</TD>
</TR>
<TR valign="top">
	<TD width=100% colspan=5 align=center>&nbsp;</TD>
</TR>
<TR valign="top">
	<TD width=100% colspan=5>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>&nbsp;</TD>
</TR>
<TR valign="top">
	<TD width=100% colspan=5 align=center>&nbsp;</TD>
</TR>
<TR valign="top">
	<TD width=100% colspan=5>&nbsp;
	</TD>
</TR>
</TABLE>
<p>&nbsp;</p>
<p align="center"> <FONT size=2 face="sans-serif">8</FONT><BR>

</p>
<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_10"></A>

<br>
<br>
<TABLE border=0 cellspacing=0 cellpadding=0>
<TR valign="bottom">
  <TD align=left><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.5</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST proposals supporting cumulative voting</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.6</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals eliminating cumulative voting</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.7</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals supporting confidential voting</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.8</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals seeking election of supervisory board members</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.9</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST shareholder proposals seeking additional</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">representation of women and/or minorities generally (i.e., not</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">specific individuals) to a Board of Directors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.10</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST shareholder proposals for term limits for directors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.11</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR shareholder proposals to establish a mandatory retirement</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">age for directors who attain the age of 72 or older</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.12</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST shareholder proposals requiring directors to own a</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">minimum amount of company stock</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.13</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals requiring a majority of independent directors on a</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">Board of Directors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.14</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals to allow a Board of Directors to delegate powers to</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">a committee or committees</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.15</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals to require audit, compensation and/or nominating</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">committees of a Board of Directors to consist </FONT><I><FONT face="serif">exclusively </FONT></I><FONT face="serif">of</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">independent directors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.16</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST shareholder proposals seeking to prohibit a single</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">person from occupying the roles of chairman and chief executive</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">officer</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.17</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals to elect account inspectors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.18</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals to fix the membership of a Board of Directors at a</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">specified size</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.19</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals permitting shareholder ability to nominate</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">directors directly</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.20</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST proposals to eliminate shareholder ability to nominate</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">directors directly</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.21</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals permitting shareholder ability to remove directors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">directly</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">A.22</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST proposals to eliminate shareholder ability to remove</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">directors directly</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="sans-serif">9 </FONT></P>

<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_11"></A>

<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif"></FONT><B><FONT size=4 face="serif">B. Auditors </FONT></B></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These proposals concern those issues submitted to shareholders related to the selection of auditors. As a general matter, the Committee believes that corporate auditors have a responsibility to
represent the interests of shareholders and provide an independent view on the propriety of financial reporting decisions of corporate management. While the Committee will generally defer to a corporation&#146;s choice of auditor, in individual
cases, the Committee may look at an auditors&#146; history of representing shareholder interests as auditor of other companies, to the extent the Committee deems relevant. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee&#146;s general policy is to vote: </FONT></P>
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<TR valign="bottom">
  <TD align=right><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD colspan=3 align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">B.1</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>
<FONT face="serif">FOR approval of independent auditors, </FONT><I><FONT face="serif">except for</FONT></I>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">auditors that have a financial interest in, or material</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">association with, the company they are auditing, and are</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">therefore believed by the Committee not to be independent</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">auditors who have rendered an opinion to any company which</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">in the Committee&#146;s opinion is either not consistent with best</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">accounting practices or not indicative of the company&#146;s</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">financial situation</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">on a case-by-case basis, auditors who in the Committee&#146;s</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">opinion provide a significant amount of non-audit services to</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>&nbsp;

	</TD>
	<TD width=2%>&nbsp;
	</TD>
	<TD width=80% align=left>
<FONT face="serif">the company</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">B.2</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>
<FONT face="serif">FOR proposals seeking authorization to fix the remuneration of</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>
<FONT face="serif">auditors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD colspan=3>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">B.3</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% colspan=3 align=left>
<FONT face="serif">FOR approving internal statutory auditors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD colspan=3>
<HR noshade size=1>
	</TD>
</TR>

<TR valign="top">
  <TD align=right><FONT face="serif">B.4</FONT>&nbsp; </TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><font face="serif">FOR proposals for audit firm rotation, </font><i><font face="serif">except for </font></i><font face="serif">proposals that</font>&nbsp; </TD>
</TR>
<TR valign="top">
  <TD align=right>&nbsp;</TD>
  <TD>&nbsp;</TD>
  <TD colspan=3 align=left><FONT face="serif">would require rotation after a period of less than 5 years</FONT> </TD>
</TR>
<TR valign="top">
	<TD width=4% align=right><HR noshade size=1></TD>
	<TD width=9%><HR noshade size=1>
	</TD>
	<TD width=85% colspan=3 align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=100% colspan=5 align=center>&nbsp;</TD>
</TR>
<TR valign="top">
	<TD width=100% colspan=5>&nbsp;
	</TD>
</TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="sans-serif">10 </FONT></P>

<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_12"></A>

<P>
<B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=4 face="serif">C. Compensation and Benefits </FONT></B></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These proposals concern those issues submitted to shareholders related to management compensation and employee benefits. As a general matter, the Committee favors disclosure of a company&#146;s
compensation and benefit policies and opposes excessive compensation, but believes that compensation matters are normally best determined by a corporation&#146;s board of directors, rather than shareholders. Proposals to &#147;micro-manage&#148; a
company&#146;s compensation practices or to set arbitrary restrictions on compensation or benefits will therefore generally not be supported.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif"> </FONT><FONT face="serif">The Committee&#146;s general policy is to vote: </FONT></P>
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<TR valign="bottom">
  <TD align=left><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.1</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">IN ACCORDANCE WITH THE RECOMMENDATION OF ISS</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">on compensation plans if the ISS recommendation is based </FONT><U><FONT face="serif">solely</FONT></U>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">on whether or not the company&#146;s plan satisfies the allowable cap</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">as calculated by ISS. If the recommendation of ISS is based on</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">factors other than whether the plan satisfies the allowable cap the</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">Committee will analyze the particular proposed plan. This policy</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">applies to amendments of plans as well as to initial approvals.</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.2</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">FOR proposals to eliminate retirement benefits for outside</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">directors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.3</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">AGAINST proposals to establish retirement benefits for outside</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">directors</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.4</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">FOR proposals approving the remuneration of directors or of</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">supervisory board members</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.5</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">AGAINST proposals to reprice stock options</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.6</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">FOR proposals to approve employee stock purchase plans that</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">apply to all employees. This policy applies to proposals to amend</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=7% align=center>&nbsp;</TD>
    <TD width=7% align=center>&nbsp;</TD>
    <TD width=86% align=center><div align="left"><FONT face="serif">ESPPs if the plan as amended applies to all employees.</FONT> </div></TD>
</TR>
<TR valign="top">
	<TD width=100% colspan=3>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.7</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">FOR proposals to pay retirement bonuses to directors of Japanese</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">companies unless the directors have served less than three years</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.8</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">AGAINST proposals seeking to pay outside directors only in stock</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.9</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">FOR proposals seeking further disclosure of executive pay or</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">requiring companies to report on their supplemental executive</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">retirement benefits</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.10</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">AGAINST proposals to ban all future stock or stock option grants</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">to executives</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.11</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">AGAINST option plans or grants that apply to directors or</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">employees of &#147;related companies&#148; without adequate disclosure of</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">the corporate relationship and justification of the option policy</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>
<FONT face="serif">C.12</FONT>&nbsp;
	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">FOR proposals to exclude pension plan income in the calculation</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=6% align=left>&nbsp;

	</TD>
	<TD width=7%>&nbsp;
	</TD>
	<TD width=86% align=left>
<FONT face="serif">of earnings used in determining executive bonuses/compensation</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="sans-serif">11 </FONT></P>

<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_13"></A>

<P>
<B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=4 face="serif">D. Capital Structure </FONT></B></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These proposals relate to various requests, principally from management, for approval of amendments that would alter the capital structure of a company, such as an increase in authorized shares. As a
general matter, the Committee will support requests that it believes enhance the rights of common shareholders and oppose requests that appear to be unreasonably dilutive.</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif"> </FONT><FONT face="serif">The Committee&#146;s general policy is to vote: </FONT></P>
<TABLE border=0 cellspacing=0 cellpadding=0>
<TR valign="bottom">
  <TD align=right><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">D.1</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST proposals seeking authorization to issue shares without</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">preemptive rights except for issuances up to 10% of a non-US</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">company&#146;s total outstanding capital</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">D.2</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR management proposals seeking preemptive rights or seeking</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">authorization to issue shares with preemptive rights</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">D.3</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR management proposals approving share repurchase programs</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">D.4</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR management proposals to split a company&#146;s stock</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">D.5</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR management proposals to denominate or authorize</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">denomination of securities or other obligations or assets in Euros</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">D.6</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals requiring a company to expense stock options</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">(unless the company has already publicly committed to do so by a</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">certain date).</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="sans-serif">12 </FONT></P>

<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_14"></A>

<P>
<B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=4 face="serif">E. Corporate Charter and By-Laws </FONT></B></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These proposals relate to various requests for approval of amendments to a corporation&#146;s charter or by-laws, principally for the purpose of adopting or redeeming &#147;poison pills&#148;. As a
general matter, the Committee opposes poison pill provisions. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee&#146;s general policy is to vote: </FONT></P>
<TABLE border=0 cellspacing=0 cellpadding=0>
<TR valign="bottom">
  <TD align=right><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">E.1</FONT>&nbsp;
	</TD>
	<TD width=10%>&nbsp;
	</TD>
	<TD width=84% align=left>
<FONT face="serif">AGAINST proposals seeking to adopt a poison pill</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">E.2</FONT>&nbsp;
	</TD>
	<TD width=10%>&nbsp;
	</TD>
	<TD width=84% align=left>
<FONT face="serif">FOR proposals seeking to redeem a poison pill</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">E.3</FONT>&nbsp;
	</TD>
	<TD width=10%>&nbsp;
	</TD>
	<TD width=84% align=left>
<FONT face="serif">FOR proposals seeking to have poison pills submitted to</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=10%>&nbsp;
	</TD>
	<TD width=84% align=left>
<FONT face="serif">shareholders for ratification</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">E.4</FONT>&nbsp;
	</TD>
	<TD width=10%>&nbsp;
	</TD>
	<TD width=84% align=left>
<FONT face="serif">FOR management proposals to change the company&#146;s name</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="sans-serif">13 </FONT></P>

<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_15"></A>

<P>
<B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=4 face="serif">F. Corporate Meetings </FONT></B></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These are routine proposals relating to various requests regarding the formalities of corporate meetings. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee&#146;s general policy is to vote: </FONT></P>
<TABLE border=0 cellspacing=0 cellpadding=0>
<TR valign="top">
  <TD align=left><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.1</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST proposals that seek authority to act on &#147;any other</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>&nbsp;

	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">business that may arise&#148;</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.2</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals designating two shareholders to keep minutes of</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>&nbsp;

	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">the meeting</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.3</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals concerning accepting or approving financial</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>&nbsp;

	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">statements and statutory reports</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.4</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals approving the discharge of management and the</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>&nbsp;

	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">supervisory board</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.5</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals approving the allocation of income and the</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>&nbsp;


	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">dividend</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.6</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals seeking authorization to file required</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>&nbsp;

	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">documents/other formalities</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.7</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals to authorize the corporate board to ratify and</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>&nbsp;

	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">execute approved resolutions</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.8</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals appointing inspectors of elections</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.9</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals electing a chair of the meeting</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.10</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">FOR proposals to permit &#147;virtual&#148; shareholder meetings over the</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>&nbsp;

	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">Internet</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>
<FONT face="serif">F.11</FONT>&nbsp;
	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">AGAINST proposals to require rotating sites for shareholder</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=5% align=left>&nbsp;

	</TD>
	<TD width=8%>&nbsp;
	</TD>
	<TD width=85% align=left>
<FONT face="serif">meetings</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="sans-serif">14 </FONT></P>

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<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_16"></A>

<P>
<B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=4 face="serif">G. Investment Companies </FONT></B></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These proposals relate to proxy issues that are associated solely with holdings of shares of investment companies, including, but not limited to, investment companies for which BlackRock provides
investment advisory, administrative and/or other services. As with other types of companies, the Committee believes that a fund&#146;s Board of Directors (rather than its shareholders) is best-positioned to set fund policy and oversee management.
However, the Committee opposes granting Boards of Directors authority over certain matters, such as changes to a fund&#146;s investment objective, that the Investment Company Act of 1940 envisions will be approved directly by shareholders.
</FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee&#146;s general policy is to vote: </FONT></P>
<TABLE border=0 cellspacing=0 cellpadding=0>
<TR valign="bottom">
  <TD align=right><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD align=left><HR noshade size=1></TD>
  <TD align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=7% align=right>
      <div align="left"><FONT face="serif">G.1</FONT>&nbsp;
      </div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">FOR nominees for director of mutual funds in uncontested</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">elections, </FONT><I><FONT face="serif">except for </FONT></I><FONT face="serif">nominees who</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=center><div align="left"><FONT size=2 face="sans-serif">&#149;</FONT></div></TD>
	<TD width=83% align=center>
      <div align="left"><FONT face="serif">have missed at least two meetings and, as a result, attended</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=center>&nbsp;</TD>
	<TD width=83% align=center>
      <div align="left"><FONT face="serif">less than 75% of meetings of the Board of Directors and its</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=center>&nbsp;</TD>
	<TD width=83% align=center>
      <div align="left"><FONT face="serif">committees the previous year, unless the nominee missed the</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>

 <div align="left"><FONT face="serif">meeting due to illness or fund business</FONT>&nbsp;
    </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=center><div align="left"><FONT size=2 face="sans-serif">&#149;</FONT></div></TD>
	<TD width=83% align=center>
      <div align="left"><FONT face="serif">ignore a shareholder proposal that was approved by either a</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=center>&nbsp;</TD>
	<TD width=83% align=center>
      <div align="left"><FONT face="serif">majority of the shares outstanding in any year or by the</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=center>
      <div align="left"></div></TD>
    <TD width=7% align=center>&nbsp;</TD>
    <TD width=3% align=center>&nbsp;</TD>
    <TD width=83% align=center><div align="left"><FONT face="serif">majority of votes cast for two consecutive years</FONT> </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=center><div align="left"><FONT size=2 face="sans-serif">&#149;</FONT></div></TD>
	<TD width=83% align=center>
      <div align="left"><FONT face="serif">are interested directors who serve on the audit or nominating</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>

 <div align="left"><FONT face="serif">committees or on a full Board that does not have such</FONT>&nbsp;
    </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=center>&nbsp;</TD>
	<TD width=83% align=center>
      <div align="left"><FONT face="serif">committees composed exclusively of independent directors</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=center><div align="left"><FONT size=2 face="sans-serif">&#149;</FONT></div></TD>
	<TD width=83% align=center>
      <div align="left"><FONT face="serif">on a case-by-case basis, have served as directors of companies</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>

 <div align="left"><FONT face="serif">with allegedly poor corporate governance</FONT>&nbsp;
    </div></TD>
</TR>
<TR valign="top">
	<TD>
<HR align="left" size=1 noshade>
	</TD>
	<TD>
	  <div align="left">
	    <HR noshade size=1>
	  </div></TD>
	<TD><HR noshade size=1></TD>
	<TD>
<HR align="left" size=1 noshade>
	</TD>
</TR>
<TR valign="top">
	<TD width=7% align=right>
      <div align="left"><FONT face="serif">G.2</FONT>&nbsp;

	  </div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">FOR the establishment of new series or classes of shares</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD>
<HR align="left" size=1 noshade>
	</TD>
	<TD>
	  <div align="left">
	    <HR noshade size=1>
	  </div></TD>
	<TD><HR noshade size=1></TD>
	<TD>
<HR align="left" size=1 noshade>
	</TD>
</TR>
<TR valign="top">
	<TD width=7% align=right>
      <div align="left"><FONT face="serif">G.3</FONT>&nbsp;
      </div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">AGAINST proposals to change a fund&#146;s investment objective to</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">nonfundamental</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD>
<HR align="left" size=1 noshade>
	</TD>
	<TD>
	  <div align="left">
	    <HR noshade size=1>
	  </div></TD>
	<TD><HR noshade size=1></TD>
	<TD>
<HR align="left" size=1 noshade>
	</TD>
</TR>
<TR valign="top">
	<TD width=7% align=right>
      <div align="left"><FONT face="serif">G.4</FONT>&nbsp;
      </div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">FOR proposals to establish a master-feeder structure or</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">authorizing the Board to approve a master-feeder structure without</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">a further shareholder vote</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD>
<HR align="left" size=1 noshade>
	</TD>
	<TD>
	  <div align="left">
	    <HR noshade size=1>
	  </div></TD>
	<TD><HR noshade size=1></TD>
	<TD>
<HR align="left" size=1 noshade>
	</TD>
</TR>
<TR valign="top">
	<TD width=7% align=right>
      <div align="left"><FONT face="serif">G.5</FONT>&nbsp;
      </div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">AGAINST a shareholder proposal for the establishment of a</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD width=7% align=left>

	  <div align="left"></div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">director ownership requirement</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD>
<HR align="left" size=1 noshade>
	</TD>
	<TD>
	  <div align="left">
	    <HR noshade size=1>
	  </div></TD>
	<TD><HR noshade size=1></TD>
	<TD>
<HR align="left" size=1 noshade>
	</TD>
</TR>
<TR valign="top">
	<TD width=7% align=right>
      <div align="left"><FONT face="serif">G.6</FONT>&nbsp;
      </div></TD>
	<TD width=7%>
	  <div align="left"></div></TD>
	<TD width=3% align=left>&nbsp;</TD>
	<TD width=83% align=left>
      <div align="left"><FONT face="serif">FOR classified boards of closed-end investment companies</FONT>&nbsp;
      </div></TD>
</TR>
<TR valign="top">
	<TD>
<HR align="left" size=1 noshade>
	</TD>
	<TD>
	  <div align="left">
	    <HR noshade size=1>
	  </div></TD>
	<TD><HR noshade size=1></TD>
	<TD>
<HR align="left" size=1 noshade>
	</TD>
</TR>
</TABLE>
<BR>
<P align="center">
<FONT size=2 face="sans-serif">15 </FONT></P>

<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
<A name="page_17"></A>

<P>
<B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT size=4 face="serif">H. Environmental and Social Issues </FONT></B></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These are shareholder proposals to limit corporate conduct in some manner that relates to the shareholder&#146;s environmental or social concerns. The Committee generally believes that annual
shareholder meetings are inappropriate forums for the discussion of larger social issues, and opposes shareholder resolutions &#147;micromanaging&#148; corporate conduct or requesting release of information that would not help a shareholder evaluate
an investment in the corporation as an economic matter. While the Committee is generally supportive of proposals to require corporate disclosure of matters that seem relevant and material to the economic interests of shareholders, the Committee is
generally not supportive of proposals to require disclosure of corporate matters for other purposes. </FONT></P>
<P>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">The Committee&#146;s general policy is to vote: </FONT></P>
<TABLE border=0 cellspacing=0 cellpadding=0>
<TR valign="top">
  <TD align=right><HR noshade size=1></TD>
  <TD><HR noshade size=1></TD>
  <TD colspan=2 align=left><HR noshade size=1></TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">H.1</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=84% colspan=2 align=left>
<FONT face="serif">AGAINST proposals seeking to have companies adopt</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=84% colspan=2 align=left>
<FONT face="serif">international codes of conduct</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD colspan=2>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">H.2</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=84% colspan=2 align=left>
<FONT face="serif">AGAINST proposals seeking to have companies provide non-</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=84% colspan=2 align=left>
<FONT face="serif">required reports on:</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=79% align=left>
<FONT face="serif">environmental liabilities;</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=79% align=left>
<FONT face="serif">bank lending policies;</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=79% align=left>
<FONT face="serif">corporate political contributions or activities;</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=79% align=left>
<FONT face="serif">alcohol advertising and efforts to discourage drinking by</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>&nbsp;

	</TD>
	<TD width=79% align=left>
<FONT face="serif">minors;</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=79% align=left>
<FONT face="serif">costs and risk of doing business in any individual country;</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=3% align=left>
<FONT size=2 face="sans-serif">&#149;</FONT>&nbsp;
	</TD>
	<TD width=79% align=left>
<FONT face="serif">involvement in nuclear defense systems</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
	<TD>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">H.3</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=84% colspan=2 align=left>
<FONT face="serif">AGAINST proposals requesting reports on Maquiladora</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=84% colspan=2 align=left>
<FONT face="serif">operations or on CERES principles</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD colspan=2>
<HR noshade size=1>
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=right>
<FONT face="serif">H.4</FONT>&nbsp;
	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=84% colspan=2 align=left>
<FONT face="serif">AGAINST proposals seeking implementation of the CERES</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD width=4% align=left>&nbsp;

	</TD>
	<TD width=9%>&nbsp;
	</TD>
	<TD width=84% colspan=2 align=left>
<FONT face="serif">principles</FONT>&nbsp;
	</TD>
</TR>
<TR valign="top">
	<TD>
<HR noshade size=1>
	</TD>
	<TD><HR noshade size=1>
	</TD>
	<TD colspan=2>
<HR noshade size=1>
	</TD>
</TR>
</TABLE><BR>
<P align="center">
<FONT size=2 face="sans-serif">16 </FONT></P>

<HR noshade  width="100%" size=4>

<P align="left" style="page-break-before:always"></P><PAGE><br>
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<U><FONT size=5 face="serif">Notice to Clients</FONT></U><FONT size=5 face="serif"> </FONT></P>
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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">BlackRock will make records of any proxy vote it has made on behalf of a client available to such client upon request.</FONT><SUP><FONT face="serif">11</FONT></SUP><FONT face="serif"> BlackRock
will use its best efforts to treat proxy votes of clients as confidential, except as it may decide to best serve its clients&#146; interests or as may be necessary to effect such votes or as may be required by law.</FONT></P>
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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">BlackRock encourage clients with an interest in particular proxy voting issues to make their views known to BlackRock, provided that, in the absence of specific written direction from a client on how
to vote that client&#146;s proxies, BlackRock reserves the right to vote any proxy in a manner it deems in the best interests of its clients, as it determines in its sole discretion.</FONT></P>
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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<FONT face="serif">These policies are as of the date indicated on the cover hereof. The Committee may subsequently amend these policies at any time, without notice.</FONT></P>
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<font size="2"><SUP><FONT face="serif">11</FONT></SUP><FONT face="serif"> Such request may be made to the client&#146;s portfolio or relationship manager or addressed in writing to Secretary, BlackRock Equity Investment Policy Oversight Committee,
Legal and Compliance Department, BlackRock Inc., 40 East 52<SUP>nd</SUP> Street, New York, New York 10022. </FONT></font></P>
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